I haven't read Cold Days, but it's almost certainly a reference to the Firefly episode "Our Mrs. Reynolds". It has these two dialog snippets:
Book: [to Mal] If you take sexual advantage of her [Saffron], you're going to burn in a very special level of hell. A level they reserve for child molesters and people who talk at the theater.
Saffron: Leave me at the nearest port, never look upon me again. I'll make my way with the strength that you've taught me, only let me have my wedding night.
Mal: Oh, I'm gonna go to the special hell.
It's a fairly common reference; see, for example, this Urban Dictionary entry.