I think that might be where the concept of this story was originally conceived. A bunch of the In Hell stories had Hellboy crossing paths with his old enemies (Eligos, his bride, the vampire of Prague) and Koshchei could’ve been a part of this reckoning with the events of his life.
I’m interested to see if the framing story gives us some more context on the more current events of the Mignolaverse in the last issues.