Ballphins will follow you into the Volcano if you have befriended them. They swim through the earth in a similar fashion to when boats could be put on land. It's kind of amusing.
Steps to Reproduce
Befriend ballphin. Go into Volcano.
Befriend ballphin. Go into Volcano.
A developer has marked this issue as fixed. This means that the issue has been addressed in the current development build and will likely be in the next update.