Glad I asked.

I figured it was just a myth, a remnant of old culture long-since refuted as mankind learned more about Aether. Although I'm still curious, since so many ideas we consider "fantastic" are quite literal in Eorzea, if there is any source for the myth. Maybe it's in some way connected to the Void, which is as well-known source of demons.

(Cue Fern rushing in with "What? The Void is no hell! It is a happy place, full of love and fuzzy marmots! I should take you there sometime!" which I will tentatively decline.)