Blue rocks - UnderMine
Blue rocks appear on the first floor of each dungeon once you beat the rock miniboss in the Goldmine and rescue Dodson. Destroying them grants access to fast travel between the different dungeons.
I will show you the different steps.
This guy is located on floor 3 of the Goldmine and the key that is required to free him drops from a rock miniboss. The boss is very easy and has nothing to do with the difficulty of the real bosses! It's pretty much a tutorial boss.
Upgrading your bomb
Once that is done, Dodson is on the upper right side of the main room of your headquarters. One of his upgrades is Echo Blast, an upgrade that costs 2500 gold that allows you to “blow up new kinds of rocks”.
That's what you need to destroy the blue, petrified rocks!
From there, you simply need to use your bombs like normally to blow up the rocks and get to the fast travel NPC! When the final boss of a dungeon is beaten, the following dungeon starts appearing there.
I'm not sure I would recommend using fast travel a lot as you miss up on a lot of character upgrades by doing so and the later levels are very difficult without upgrades. But it's a pretty cool feature and a good way to add a challenge!