Annie expedition is in "extras" on the main menu.
Jellyhailey- let a single jellyfish top her until it lands and starts pulsating. It'll spawn a new monster.
You have to look for the missing girl on levels 3, 8, 13, and 15. It will unlock Annie's Expedition.
Edit:
For boss Mena you have to find Ivory at level 17 and complete the level then talk to him again. After that you have to meet Regina and Mason at level 14. After that you will be able to fight against the boss Mena at level 5.