So clearly someone at Paizo likes Cheliax.
I do too; it's an interesting idea. Geographically, it would represent maybe the Western Roman Empire to Taldor's Eastern Roman Empire or Byzantium, but only geographically and from a historical perspective. Nothing else about it fits the bill; rather it's a fantasy totalitarian state. And since Nazis are the ultimate pulp evil, what better way to build on the concept of fantasy Nazis than to make them a devil-worshipping theocracy to boot? It's just too over-the-top evil, and that's the charm of the place, frankly.
Now, I wouldn't have minded if the authors had taken just a few sentences here and there to talk about how in Cheliax they're Asmodian apologists or something. No, he's not a devil, that's a heresy that the other gods have spread, etc. Nobody thinks that they're evil, and Cheliax doesn't have any such psychological buffer. There's also a handful of weird "this society is lawful evil, so here's some concessions to arbitrary lawfulness" moments in the book. That's one of the problems with the D&D alignment system, though and it's a shame that the authors had to play up to that bizarre alignment paradigm at the expense of verisimilitude. But it's not a huge deal either way.
The art, as always, was very nice, although I don't know what that thing on the front cover is supposed to be. A centaur Hellknight? I didn't know there was such a thing.
One nice thing about the book was that even for a land that's known as an oppressive, controlling, totalitarian regime, I felt like there was stuff you could use. You don't just go to Cheliax and have to follow all the rules because otherwise you get thrown into prison; this is a place that could be a home for adventure. And not just the "spying on Cheliax" or "infiltrating Cheliax" or playing "Luke Skywalker to Cheliax's Death Star, with Hellknights as Sith Lords". This place felt a bit like a place that you could easily use in your game. If I were homebrewing something similar, I'd probably make it slightly less overt; Asmodeus goes by a different name, people in Cheliax don't believe he's evil (although of course he is) and there's not such a risque, "Ooooh, we're the devil-worshipping Nazis!" vibe all the time; it would be just a tad more subtle.