..though that just raises the question of why the other rings exist at all. Why did Heaven create entire realms populated only by newly created Hellborn species that are born there through no fault of their own?
The best answer I can give is it's so Hell would have its own society outside of sinners. On paper they'd have a hand in punishing the sinners, but in practice, Hell is an open-air prison. Sinners can punish each other outside the Pride ring, and Lucifer/the Sins would have an even worse time running the place. But I think the hellborn are there because every other media about Hell has demons in some form or another. If not, people would either ask where they are, or ask a lot of other questions Viv isn't equipped to answer.
Given that Helluva focuses on hellborn I spent a bit considering Millie came from a farm and... The more I think about this, the more this Hell feels like "Earth but not Earth." Just reboot Zoophobia with your not-demons and suddenly the whole escaping and "killing innocent people" things have more weight. Have the animal land be an allegory for chaos and the human world/Not-Heaven an allegory for order and conformity. That lets you have your one-city model, more flexibility with how your society works, more time for Stolas and Blitzo having drama over and over, the works. That way we're not asked to care about a conflict that doesn't matter, even to the characters themselves.
It'd be more believable that these characters didn't bring it on themselves if they were born there, too. Plus, it'd make the whole redemption aspect more of a problem of semantics, and it wouldn't need ~2 seasons to figure out how it'd work. Because it wouldn't really be redemption but rather "winning." That'd make Pentious a "Winner." It makes the whole "society decides winners and losers" thing more earned. It makes Pentious the exemption that proves the rule, since he scored enough good boy points by sacrificing himself despite his nature. You might be wondering if this is circular since it just reintroduces the conflict to a different setting, or what the point of changing it would be. But this change in context makes it easier for people to accept that these characters can rise above their station and "be good" despite or even because of themselves. We're not asked to accept that rapists, murderers, and cannibals should go a place that people (like their victims) earned the right to enter when they were alive, in ways that the series just ignores because it doesn't want to think about that.