You are most certainly remembering something wrong.
Remiel flies up, yes, but it is not Duma, nor any other angel that he encounters. He goes to see just a random doomed soul.
You are probably referring to those three panels (click for full resolution):
Duma is the Angel of Silence. Thus the flying angel is not Duma, but Remiel. The tortured soul is also not Duma, because he talks.
Duma remains in the tower, while Remiel flies around, naively proclaiming that the souls are now being punished to be redeemed.
For further exploration of the inner workings of Hell, refer to the story arcs "A Dalliance with the Damned" and "Inferno" of Mike Carey's Lucifer,
issues #17-19, and #29-32, respectively.