A woman and friends are in desert follow a blue butterfly down some hole and are kept there. They get some device that they have to hold in mouth to keep another device from killing them. I think its some type of weird sex slave movie. At end girl is dressed in like a butterfly cocoon and brought to queens chamber.

The Perils of Gwendoline in the Land of the Yik Yak (http://www.imdb.com/title/tt0087903/reference)