Kelsier says:
Bloody hell!
Is there any mention of heaven and hell besides from this in the Mistborn series? Do people in the Final Empire believe that they might go to hell? What about the heaven?
Do Skaa have any hope of getting to heaven? That would give them something to live for.
I'm currently reading book 1, so please consider using spoiler tags if you reveal stuff from the later books.
The afterlife isn't brought up as a concern.
At the opening of the series, the Lord Ruler is the physical god of the dominant - and only authorized - religion in the Final Empire. His religion is never pictured as concerned about the afterlife of it's citizens, only their current life and their current obedience in that life. The religion functions more as a governmental beauracracy, tending to the current wishes of the Lord Ruler, and although there is a mythology taught by the priests, it's only purpose appears to be convincing people to submit to their authority.
Incredibly few people are worried about the well being of the skaa, or their purpose for living, beyond that it works to their purpose. Since the concepts exist, it can be presumed people, skaa and nobleborn, believe in an afterlife, but not much else.
And since spoilers are mentioned...
... this state of affairs will evolve, and many variations of religion will occur. There are also magical and mystical events in the series that get interpreted as religious events. Most of these evolutions will also not focus on an afterlife. If not a Heaven or Hell, a form of afterlife will at least be glimpsed, although it will be limited to one singular exception to the norm.
While I dont think there is any explicit mention of heaven and hell in the steel ministry sanctioned religion surrounding the final empire, Sazed is very found of telling Kelsior religions that were extinguished by the Lord Ruler. [Chapter 9 of Final Empire]
An example of one of these that had elements of afterlife was Trelagism although it was described as an almost whimsical belief in it.(1) [Chapter 46 of Hero of Ages]
However you might assume that despite the potential for Kelsior to have knowledge of the concept of hell from old religions Kelsior would be unlikely to express "bloody hell" colloquially without being surrounded by people who also knew of this dead religion and used bloody hell as a turn of phrase. This is all very unlikely.
Optimistically we could reason that this line you mentioned is evidence that the final empire's religion had some concept of hell that were never otherwise explicitly mentioned in the books. I can't find anything that says the Final Empire explicitly didnt have a concept of hell in the book rather it just doesn't seem to be mentioned at all.
However cyncialy we could guess that Brandon Sanderson's own mormonism was the true religious source of this phrase. While Sanderson is meticulous, this is a world of wild magic afterall and no one can claim the books have no small goof ups.
(1) Trelagism - The Coppermind - 17th Shard. https://coppermind.net/wiki/Trelagism.
Edit: all information directly from an AI has been removed and what is left is directly mentioned in the citation. It does appear that GPT-4 at least partially hallucinated. My apologies.
