-The original blue-skinned demon and King of Hell, Mephistopheles, is destroyed by Xena's attack in the episode "The Haunting of Amphipolis"... but since he is initially in Hell, his existence is diminished to an utter oblivion; he is in turn, neither sent to Hell nor trapped in purgatory as his essence was already a part of Hell. Due to the fact that one cannot kill someone who is already dead, the fact that his physical body and soul were destroyed is highly likely. However, since he was made flesh after absorbing Eve's blood (the blood of Eli), it is likely that his physical body was also destroyed... since his initial defeat at the hands of Xena, it is highly likely that his soul is replenished and re-used to embody another as most bodies are resurrected when extremely evil. In this case, since he was the reputable King of Hell, Mephistopheles' existence is completely diminished, leaving no more than a memory as his essence is destroyed. In the episode, "You are There," in an interview, his defeat is re-stated, and his death is confirmed, but he is not seen on line with the slew of villains who were slain by Xena. As a result, it is safe to assume that his essence and being was completely destroyed and replenished.
Lucifer, the second and current King of Hell, was tricked by Xena into committing the seven deadly sins and was forced into the throne of Hell in the episode "Heart of Darkness". After assuming this throne, he is interviewed in the episode, "You are There," thereby confirming that he blames Xena for trapping him in Hell and in turn, forcing him to take the throne. Due to his built up anger and rage, Lucifer's hatred is, in turn, paralleled by his sexual appetite for Xena... whom although he hates, he also holds a great lust towards because of being the one who awakened the emotions for which archangels are essentially not allowed to act upon. The very fact that humans differ from archangels in the sense that they are given this will to choose to act upon their decisions and that Lucifer was not allowed to be open about these same gestures, ended up sealing his fate as the King of Hell and transforming him into the archetype red-skinned demon.