Is the Abyss even a real physical place? Or would it be more akin to the Umbra from the World of Darkness or the Fade from Dragon Age*? If the later, most of what you see and feel in the place if just sort of an image placed upon the world by those around (the demon lords in this case) and/or what is in the real world nearby. It could also be something akin to the upper planes and astral domains of many D&D worlds, in which case it is physical, but highly mutable by those powerful enough to pose their will on the region. In those worlds you can litterally have freezing ice wastes directly next to boiling hot rock deserts.
* Granted, physical beings like humans normally have difficulty entering these places physically (most often accomplished through dreams), but there are powerful magics which it as can certain beings that are both spiritual and physical (werewolves in the World of Darkness).