What is Marisa doing underground with a device on her back?
It is probably referencing to a Touhou game which will be later adapted into an anime in the series. 

A lot of the openings for "Memories of Phantasm" incorporate scenes from later episodes. For example, the opening of the first episode has scenes which later appeared in the next 3 episodes.

This scene:



Was in episode 2.

In the 5 openings so far there's lots of sneak previews of what appears to be references to other Touhou games: for example, Subterranean Animism and  Imperishable Night.



The scene with Marisa with a measurement devise on her back is almost certainly another reference Subterranean Animism to as the three characters shown - Nitori, Patchouli and Alice - are Marisa's partner's in the game. It is also underground which is where Subterranean Animism is set. 

Furthermore in the game, the protagonists are given a device that Yukari made:


  But others got worried, and wanted them to go down into the Underworld, with a device Yukari Yakumo made so they could talk even underground.