Is it possible to have multiple exits from a single location using only one direction? For example, from the courtyard of a castle to the cellar, the arms room, the chapel... using only the "IN" button.

It should be. Not sure if the editor will let you create them easily, but if not there should be a way to work around it.

I'd suggest giving the exits the "indirection" type, making sure that "in" is on their list of alternate names, and giving them aliases that indicate which one they are. That way, when the player clicks the in button, the disambiguation menu will ask which one they wanted.