Hel is not her real name. This demon is called Cannelloni. She is the champion of the arena of despair in hell. An arena where demons and souls in pain who no longer want to exist confront each other.
She has been condemned to carry the flames of hell on her, a curse that will make her suffer their heat and their noise in permanently without suffering physically.
It's by entering the arena that she understood that she could use them as a weapon and that she became Hel, the champion of the underworld (well, one of its champions...)