I know that it's not the afterlife, but according to
this Elvish translator, 'Hell' is translated as 'Angband'.
I don't know about Elves, but I seem to remember that when Saruman died, he tried to return to the West, but was denied. I would assume that he was cast into the Void. Ergo, I would make the assumption that the Void is the 'Hell' of Arda and is reserved for the evil Maiar and Valar.