For instance, let's say that every character in hell used to be a human once with few extremely rare exceptions, almost nobody is really born there, families are formed by people uniting together for one reason or another or perhaps is former family members re-uniting in death.
Population could be split between repented souls seeing living in hell as a miserable existence and those who further gives in to sinning even after passing because they have no regret and simply continue to enjoy the decadent enviroment they are condemmned to live in, a basic economy system could play a part here and be just an illusion built to fuel the already corrupted system, being there only to further degenerate people, so that those demons that revel in sinning grow to become even more depraved and the repenting ones are trapped in a cycle of endless misery.
When a demon dies a second time, his soul pops out and without a body anymore it's compressed by gravity into a solid object. This could be collected used as a source of energy and makes for the real currency used and traded by elites that made out with hell and lesser souls the equivalent of pinocchio's pleasure island: sin could be measurable and the more tainted a soul has become, the more valuable easiest to find it ultimately is. From gay bars to casinos, all in function of feeding desire and pleasure for the fools that are going to be slaugthered like cattles the moment they look away, while the penitent ones are hired to clean and repair and cook and prostitute themselves for what's basically spare cash, in order to avoid being the next on the line.
Penance also takes a role here and it's a demon has to do in order to cleanse their soul from accumulated sin but never allows for true salvation; its basically the act of doing something that causes most personal suffering, either mental or phisical. For example: if a troon killed himself because he realized that being a troon ruined his life, his penance would revolve around still having to take those pills, even if he causes him mental/phisical pain, meanwhile if a troon that was killed by cops for raping a children takes the same pills because he identifies as a woman, it has the opposite effect and ends up accumilating sin. This is the reason penitent demons works like servants for the elites, the less sin a demon has accumulated, the less is worth killing.
In this way, a demon has to choose between either suffer for eternity or eventually give in desire to enjoy hell, and it has to either be strong/rich enough to survive the surrounding dangers or live with the paranoia that at any point he could be killed and have his soul taken and used by the killer. This system is absolutely terrible on purpose, as it ensures corruption and the impossibility of people to raise from the bottom and become someone, there is technically a chance, but it's concretely impossible.
Now, for the characters, it would be nice if everyone but Blitzo remembers their past life and is miserable/broken in their own way because of it:
- Millie could have been gaslighting for her whole life about her condition, trying to live and smile and trying pretend a better day is just behind the corner but could really be just a thin facade that hide an insecure and depressed person.
- Moxxie could have had multiple restrains and values in his previous life that were all worthless in the end as he became a demon like the rest, instead of falling to nihilism, he discovered a new meaning in the form of his wife/girlfirend, with both him reassuring her whenever she has a breakdown or her making him remember why is it still worth living and that there are reasons to smile even and especially in the most dire of situation.
- For Loona, there is an italian legend about a man that gave his Dog's soul to the Devil called "the devil's bridge", Loona could follow one of such cases, being resentful, violent and untrustworthy; she wasn't really allowed to choose and never did anything wrong herself, rather she was abandoned by her owner and thrown to eternal misery.
- Blitzo, finally, instead of being part of the pleb like the rest, could be failed nobility that has ended up lost everything after a set of terrible ideas and, with the last resources in possession, built the assassination company with the only people that didn't left him: one of his bodyguard (either Millie or Moxxie), their partner and his pet dog (Loona). He has completely forgot his past as human after years of decadence, and ever since he realized that he was in the path of losing all, has been undergoing an unspeakable form of penance for hours at day to avoid being found and killed the moment he would truly fall from grace, which people think to be the cause of his current insanity (when in reality he was always like that to begin with). More than everything, behind the made-up persona he plays in front of everyone, there's a pathetic wretch that is far more scared of dying than everyone else.
The living world should be an enviroment that is harsh to demons, perhaps having sin as a whole play a part, but with limits, so that even a cleansed demon isn't really capable of living much longer outside:
Effects could begin with headache and degenerate into extreme photosensitivity to sunlight, leading to even mental and psychical deterioration if further prolonged to the outside world, this could be lesser in polluted enviroments or places where human commits sin and debauchery often (with los angeles being the place a demon can stay the longest for obvious but slightly comedical reasons).
If a human summons a demon, the demon could be able to withstand the enviroment for much longer, but their will be enslaved, forcing them to serve the man that summoned them or die, this could be used for drama, like having Millie being summoned (maybe the materials for the ritual being there as result of a previous assassination).
Blitzo's assassinations contract could come at first as a way to get easy souls: he finds newcomers, oblivious to how things works in hell, convince them to give away their souls in exchange for revenge (causing them to rank up sin as its a planned assassination), and profit later. Later he could find himself forced to fulfill a specific list of contracts for an actually dangerous demon to fullfill his own goals under the threat of losing his employers, people he believes that secretly/openly hates him and are there just because they have nowhere else to go.