To cut costs, executives had the movie filmed back-to-back with Hellraiser VIII (2005) in Romania from October through December of 2002. Both films would not be released until 2005, though. Dimension Films tried to convince Doug Bradley (Pinhead) to accept a single fee for doing two movies, but he managed to make a proper deal for signing on for both productions.
On the DVDs there is an Easter egg to find. It shows an old Pinhead. It's a great short. Here is how to get to it: Starting from the Main Menu select Special Features. Then select More at the bottom of the screen. Then move the cursor next to Play Movie but Do Not enter it. Instead move the cursor Down one space the cursor will then disappear. Then move to the Right one space. The short film will then begin.
Gary J. Tunnicliffe has worked on all movies in the Hellraiser series as a makeup or special effects artist since Hellraiser III - Inferno sulla città (1992). He was also made second unit director on this film and the next, Hellraiser VIII (2005), would then write Hellraiser: Revelations (2011), and write/direct Hellraiser: Judgment (2018), the last installment in the series before the reboot.
Filming in Romania was tricky because the majority of the crew and actors were Romanian, making communication rather difficult.