Kristyn Childres confirmed on the KS comments that you can level up and buy items between any two scenarios during the mini campaign. Reason for this being we can't visit Gloomhaven between (so far) the scenarios during this adventure.
Meant more for the items to buy. Leveling up is pretty much auto-level. Doesn't make sense to magically morph a Market place into a scenario. Though I guess it can be written into the Road events. Would just take a sentence or so or stumbling into a village between killing stuff and helping that suicidal Quadryl!