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Err, I certainly doubt that the halls of Mandos would ever come close to the Hells of Iron - Angband, which many of the elves would have experiened long before the halls of Mandos. Not to mention that in Mandos, Nienna brings pity, endurance, hope, strength and wisdom, cf Of the Valar.
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But Angband would be a
living Hell, a very different thing to a hell for the soul or spirit. I also tend to view Mandos as more like purgatory, certainly for those who do not leave due to being 'punished'. Perhaps there simply
is no Hell for Elves that we can conceive of, due to their different nature?
And following on from that, what can we take from what happens to Saruman after his physical 'cloaking' is broken? His 'spirit' reaches out to the West but is blown away. Is it dissipated? Is it just rejected and left to wander? If the 'spirit' can be dissipated so easily, maybe Ainur sought out a physical form as a way of attaining some kind of protection - especially if wanting to commit evil deeds?
In fact,
can we call it a Fea if we are talking about one of the Ainur? Or do the terms Fea and Hroa only apply to Incarnates, i.e. Elves, Men, Dwarves? In the Osanwe-kenta Tolkien makes a clear distinction between the Ainur and the 'Incarnates'.