The story is a continuation of the events depicted in Persona 4 Arena and begins a few days after the previous game. The Midnight Channel is back on the air and once again broadcasts a strange advertisement for another fighting tournament christened P-1 Climax, that shows members of the Investigation Team and the Shadow Operatives in combat. Just moments after this, Inaba is subject to a power outage and is engulfed by a bizarre red fog. Furthermore, figures that look suspiciously like Mitsuru Kirijo, Aigis and Akihiko Sanada being crucified are shown on TV. While the Investigation Team attempts to figure out what's going on, Junpei Iori becomes trapped in the red fog, while Labrys and Yukari Takeba ride on a helicopter to see the fog engulf Inaba.
Source: Wikia, "Persona 4 Arena Ultimax", available under the CC-BY-SA License.