The Mary Skelter: Nightmares Prologue is a collection of short-stories detailing the arrival of the Jail, the Dawn investigation team and their deaths, and the backstories for all of the Blood Maidens excluding Hameln.
While this is titled as a "Prologue," it does contain spoilers for parts of the game, so it is recommended to read it after or during a play through, going through each of the chapters as the Blood Maidens join your party.
Story 1[]
The first story reveals the arrival of the Jail to earth. While it was at first mistaken for a shooting star, it soon took root, spreading its tendrils throughout the city. Eventually, the city fell into a deep chasm and a fleshy membrane covered the top of it, sealing them within.
External Link[]
English PDF: http://ideafintl.com/images/MS1Novel.pdf