This is from Gekkan PC-Engine magazine:
First world: Sausrillia (sp?) (South Rilia?)
Dungeon 1: Cave of Gaias. Boss: Vulcan
Dungeon 2: Cave of Istom. Boss: Golem
Second world: Megidonia (the "g" is a hard G.)
Dungeon 3: Cave of Darks (sp?). Boss: Gargoyles
Dungeon 4: Cave of Uarus ("ua", not "wa"). Boss: Centibeech
Third world: Aquaramses
Dungeon 5: Labyrinth of Mehma. Boss: Mad Crab
Dungeon 6: Labyrinth of Kahma. Boss: Turtlerich
Fourth world: The castle in the sky: Iscarion (from Judas Iscariot, perhaps?)
Dungeon 7: Labyrinth of Malth. Boss: Crystal Malth
That's all I could find in the magazines. The names are mostly written in Katakana, so there are lots of possibilities for English spelling.