'Between the devil and the deep blue sea' is an idiom used to express being in a difficult situation, having a dilemma.= having to choose between two undesirable situations or two dangerous alternatives. Another similar idiom is 'between a rock and a hard place.'

There's the explanation that this phrase is from the usual meaning of Devil, i.e. the supreme spirit of evil. If it's that Devil we are talking about, then the origin of this idiom is straightforward - the Devil is bad and falling in the deep sea is bad, so when caught between the two , we would be in difficulty.

there is the same meaning idiom in russian - translated into english it sounds like this "between two fires" (меж двух огней).