After a LOT of running around and being generally lost, I figured out where I missed and found the key I was looking for. Then, Mio got trapped. Chapter 5 kicked off with me racing to Osaka House, fighting new and old ghosts along the way, and learning history repeats itself.
Found the key to free Mio from being trapped, but she's missing again. Somehow got herself free (due to ghostly intervention, most likely). Time to search the town again for her.