I vaguely remember watching a movie back in the 90s (I think) where the devil impregnates a woman. She then kills herself with glass on a balcony. If I remember correctly he was the typical red beast you would usually see him portrayed as.
That's not a lot of detail to go on, but my first thought is that it is the 1994 mini-series adaptation of Stephen King's The Stand.
The "devil" is Randall Flagg, a mysterious man in black who leads one side of the moral war taking place after a great plague destroyed most of the world's population.
Most of the time Flagg appears normal, but does take on a demonic form at times:
The woman (Nadine Cross) who he impregnated, kills herself by jumping off of a balcony.
Another woman, Dayna Jurgens, killed herself to prevent Flagg torturing her into revealing the identity of spies sent into Last Vegas. She first tried to throw herself through a window in his penthouse before cutting her own throat with a broken piece of glass.