I believe that the Max that appears out of the time traveling elevator at the end of The City that Dares Not Sleep comes from an alternate timeline, more specifically the one seen at the very beginning of The Penal Zone, before General Skun-ka'pe looks into the future and alters that timeline. This opens up a few possibilities for that timeline. For instance, the devil's toybox was only uncovered in the first place as a result of the altered future when General Skun-ka'pe was trying to kill Sam and Max from his ship, unveiling the entrance to the other tunnel where it and the skeletal remains of Sameth and Maximus were located (along with the projector and reels). From here there are two possibilities, 1: the devil's toybox isn't discovered at all, or 2: Papierwaite somehow makes his way into the tunnel, discovering and stealing the toybox without Sam and Max discovering it first. Either way, the important part is this; since the power supply for the new Penal Zone wasn't hooked up to the toybox in the this timeline (also since the original is never destroyed), whatever happens to it, General Skun-ka'pe is never able to break free again. There's so much more to this whole thing but I just wanted to get 1 main idea across. What do you think?