Never met a non-atheist demon, other than Anselm. Not completely sure he counts though, his god wasn’t (presumably isn’t) a normal god. His god is a being greater than anything the mind can conceive of, yada yada convoluted logic.
One presumes there might be demon gods that might try to do something but…
Basically no, as Antelfalken and I tell Talarious in book 2, humans that die in the abyss, die permanently. That’s part of why humans freak out about going to the abyss. They get cut off from their gods, the links don’t work. The abyss is basically a giant abyss into which souls sink and get extinguished.
So as far as anyone can determine, any demon that dies in the abyss, dies permanently. However, it’s very hard to kill a demon in the abyss, much harder than on the planes of men.