I was thinking that perhaps your character is a sweet, innocent woman getting ready to be married; yet before the ceremony takes place, her love is taken by demons o be held captive in hell (for whatever reason). Determined to save him, she sets off to rescue him from whatever fate awaits. Upon reaching and traveling into the underworld though, she finds that the demons will only let her pass... for a price.
Maybe she has some kind of guide (much like in Inferno) to help her through, but most often she encounters either a lone demon or a group. As she progresses into the lower levels, the acts they require become more and more erotic, until she reaches the lowest depths and has to entice the Prince of Hell himself to release her love.