I'm surprised to see that we don't already have a thread with "Go to hell" in the title, daniar. The normal expression is "Go to hell". I suppose that most people thought that there was only one hell when this phrase was invented. So using "the" in front of "hell" wouldn't really be necessary.
If you imagine that there are many different hells, then you could certainly use "the" in front of some specific hell: Go to the seventh hell of perpetual wailing. That would be a creative remark and not a set phrase, however.