This is a concept Freddy with a story made up during an appointment in a dentist's chair:

When Freddy decided to invade the dreams of Dr. Simona Osborn (the surgeon that tried to save the lives of some of Freddy's victims), he made the mistake of messing with someone who was well versed with the incantations of the Lament Configuration. It was a mysterious/mystical cube that acted as a door - or a key to a door - that opened another dimension inhabited by demonic creatures known only as Cenobites. And Dr. Osborn cleverly tricked Freddy inside.
At first, Freddy found himself trapped in a nightmare within a nightmare, unable to discern real from the surreal. He was tortured by the horrific custodians of this sanctum, his own brand of murder used against him, ripping his burnt flesh piece by piece, till he was literally hanging by thin shreds of his own veins and tendons. But Freddy didn't give up. He revealed the true extent of his evil, and displayed a great obedience to pain. His willingness to subjugate himself to torture impressed even the highest members of the Hellraiser counsel and they offered Freddy a deal. Become a member of the Cenobite order, swear loyalty to anguish and suffering, bring bloodshed to all outsiders or continue burning in a vat of flaming kerosene. Freddy smiled through his bloody teeth, nodded his head and could almost taste the toxic rush of vengeance.
What had been a perfect trap to send Mr. Krueger to hell, now had horribly back fired. Freddy had no trouble capturing the doctor this time, resulting in the rest of the Cenobites joining in to dismantle her flesh and splatter their faces with the blood that gushed out of her every pore.
They were all so pleased with Freddy's dedication to the job, that they let him keep his hat and glove.