I'm coming to this late, but keep in mind that HE DIDN"T ASK THE LOSE CONDITION. As in, as far as I can tell the Devil didn't tell him when he would lose his soul. For example, "if you guess wrong you lose your soul", she merely told him he could win if he guessed correctly without even setting a limit on guesses. He could easily just name every single member of his family as guesses and win.
The reason, I think, is because while he is wrapped up in thinking about this particular game she's playing the long game. The missing member will certainly be his sister, but he won't say anything because he doesn't want the game to end. Somehow, the Devil is going to trick him into losing his soul anyway, perhaps he has already lost it. She'll give him exactly what he asked for, and let him find his own way to damnation.