You have to work within the construct that is there, it’s not a universal adaptable menu system. From what you describe it appears you have one more layer. You can only have “Titles" (WWI and WWII) and each “Title” can only have chapters. So, one can’t go from WWI (Title) menu to a Season select menu, and then an Episode select menu, that’s 3 layers. Each pds project (Title) can only have chapters and these chapters can be selected, but will play through to the end of the given (Title). There is nothing in the menu system to play one selected chapter and return to the parent title menu.
Maybe one option, don’t have a Root Menu. Your first menu would show 4 titles: WWI Season 1, WWII Season 2, WWII Season 1 and WWII Season 2. Each of those titles could have X chapters for each episode, but, keep in mind, these chapters when selected play until the end of that title. So if you selected episode 1 (chapter1) would play then episode 2, then 3,…so on if the episodes are chapters.
The menu system is what it is and it's really not evolved much in 11+ releases. You simply have to mold what you'd like to fit or use a more universal menu system outside of PD.
Jeff