No no, I'm pretty sure he means literal Hell. The demon world or Gehenna (or whatever it's called in this series) where he was summoned as an incubus hero or whatever.
I think there was something about that in an earlier chapter, though I don't quite remember. Probably some sort of natural immunity as an incubus. Or something about demons in general being to strong for STDs to take hold (won't get infected or pass on any infection). The incubus thing seems more probable, with sex and sex-related things being the natural domain of (and incapable of causing auxiliary harm to) sex demons.