They're calling it "the Underworld".

If they're going to write a show that parodies preexisting material, they should at least have the balls to stick to it.
I imagine the name "Hell" has too many negative connotations and, therefore, they don't want it being associated with a heroic Satan who's supposed to be a man-of-the-people.
No doubt, the entire show will make a case that "evil" and "wicked" are arbitrary statements, and that while Lucifer may be both of those, they're not actually harmful to others as long as you're friendly and charming. Include some boilerplate ironies like "Even the devil wouldn't be that much of an asshole!" (see also: Drive Angry's reference to Satan being a well-read conversationalist who despises child-killers), and you have yourself a formulaic piece of shit.
I have to wonder if whether or not Geiman and/or Carey would have ever conceived the idea were it not for Paradise Lost. I mean, I understand why contemporary media is trying to remove malice and malevolence from historically villainous figures and turn them into heroic (or anti-heroic as the case may be) iconoclasts: it fuels the anti-binary narrative. But I have to wonder how much of their methodology for achieving that end was conceived without pre-twentieth century help.