We generally don't use articles "a, an, the" with places... One reason is because these articles refer to things that you can count or they refer to things when their is more than one that exist in our consciousness... hell and heaven is generally considered to be just one place... like Chicago, Russia, or China...

It's just "hell" and "heaven" - no articles. The reason is that these are imaginary places and are treated linguistically like real places. For example, you would say: "I'm going to Scotland" not "to THE Scotland". Similarly you would say: "I'm going to heaven when I die" - no "THE".

Overall, Steven and Dawei are correct. However, there are a few set phrases that use articles with these words. A poetic synonym for "the sky" is "the heavens" Ex: "Your eyes are more beautiful than all the stars in the heavens." If we just saw something unbelievable, we might say "what the Hell?" This is a synonym for "What the fuck?" or WTF. Ex: "What the Hell, John. I can't believe that you're two hours late for your own wedding." If we mention *which* religion's hell or heaven we're talking about, we'll say "the". Ex: "the Christian Hell"; "the Muslim Heaven"