One can model the translational energies of an ideal gas with the quantum states of a 3-dimensional particle in a box. If you remember back to quantum, the energy levels of the 3D particle in a box are given by h2/(8ma2) (nx2+ny2+nz2)
Note that the parameter a refers to the dimensions of the box. Therefore, if you change the volume of the system, you will change the energies of the translational states of the particles (because you have changed a). Since doing (pressure volume) work on the system changes the system's volume, this will result in a change to the energy levels themselves.