No More Heroes 3

If you going to unlock the capsule toys achievements, use this as a guide.

As you progress in the story, you should noticed these words bubbles (like in the comic books) on the map known as adventures. Complete the adventure inside the Thunderdome. You're going to interact with a mysterious man, he will first ask you to get a pickaxe. Once you get the pickaxe, interact with him a again, and you will start a mini mining quest. Once you completed that, there will a couple more interactions, on the last and final interaction, he will give you a mysterious key. Once you head back to the motel in Santa Destroy, you will be able to enter a new motel room, the Gasha room. Once you enter it the achievement will unlock. From there you will be able to the Assassin, Battle Recreation and Alien capsule toys.

There are 10 Battle Recreation capsule toys 1000 UCs each
33 Assassin Capsule toys 300 UCs each
24 Alien Capsule toys 200 WESN each

Be sure to have enough UCs and WESN, you will end up getting the same capsule toys.