Sure, I get it completely. There’s even a good argument in the game’s fiction / lore to support your view. I don’t necessarily even disagree / or agree to be honest. I just think it’s interesting.
Mercy is from Whitehelm, it’s the kingdom of faith (knights, paladins, priestess, dragon and white castle to boot), as noted in game…
Infernal King is the leader from Blighted Lands (a nefarious name indeed), it is the kingdom of the Abyssal realm. It’s the same place we find Hellcat, Hellhound, Succubus and Heral of Chaos! “Aaarrrghghh!”
Perhaps Twisted Hero from Blighted Lands, is really just an undead lost soul looking for a kingdom to help? Perhaps Infernal King, the never dieing is keeping some otherwise foul folks in line, protecting men of other realms, as he has been tasked by higher ups… perhaps the Succubus is Mercy’s long lost cousin? LMAO… a strech, but just BS’ing here.
…and yet, Lady Saphrina, a notable vampire… and Moloch, one of the game’s strongest Daemon’s, are both also from Whitehelm - and both too work really good with Mercy… go figure, gem’s of war fiction irony!
Let us not forget that the fabled 4-horseman of the Apocalypse, come from a kingdom named just that - Apocalypse. Hungh… maybe there are far worse places than Blighted lands? Things that make you go hmm…
Perhaps it’s not all as black and white as we might think. Designers seem to intentionally blur the lines between good and bad, one kingdom to the next, etc. They do not go quite far enough to dress Mercy like a nun or even a Priestess… and blighted lands are not necessarily Christianity’s Hell… but, an Abyssal realm of perhaps something else?
My guess is it all goes back to your other point. It’s just a game. We apply our own fantasy’s to what should and should not be… but in the end, it’s just a fictional game. There is no right or wrong (my point).
What’s probably more a conscious decision is that it is a legal Intellectual Property and they blur the lines in a number of ways to avoid copy right suits, infringement suits and I’d bet intentionally avoiding things like “heaven / hell / Demon (no a)” as it gives them an argument against a great many vocal groups hell-bent on destroying a fictional world with their opinions, theology and ideology! Owners of this IP have an interest in blending the lines on their otherwise fictional universe, to protect themselves from various legal type law suits for appealing or aligning to hard one way or another with any religion, despite it being a pure fiction.
Thus, your / my / someone else’s fantasy interpretation of the fiction is as good as the next. I’m sure someone out there see’s Mercy as a lacivious harlot fallen angel working her way up the ranks with whatever she has at her disposal, including the money maker momma gave her. 
I say, it’s a game, have fun, and to each his / her own.
PS - good discussion, I enjoyed it. Im’a let the powers that be get back on the ‘nerf stuff’ topic as I didn’t want to completely derail. Besides, the 4th horseman is right around the corner and there’s not much time for hate on Maw turns to hate on Deathmark! Hah!
