Step 1: Context.
Charley, the narrator, believed he had discovered a third level at Grand Central Station.
Step 2: Description.
It looked old-fashioned, with gas lights, brass spittoons, and people in 19th-century dress.
Step 3: Location.
It was supposedly situated below the two existing levels of Grand Central Station.
Step 4: Conclusion.
The third level symbolized Charley's desire to escape from the modern world's stress into a peaceful past.
Final Answer: \[ \boxed{\text{The third level was an imaginary platform at Grand Central, leading to the 1890s.}} \]