So far the names I know that refer to Hell are:
Duat, Orion, Valhallah, in allogories the "9th heaven" (this is often corrupted by the enemy, but it refers to the higher chakra's and the "lotus" which is also an allogory for the awakened crown chakra, but it also refers to Hell as the seat of the God king).
I'm sure there are more, but I don't know any other names.
As far as I know, underworld is not actually used to refer to Hell. I'm not exactly sure where the notion underworld came from either, but often it seems to be used as an allogory of the aether/astral, or the 4th dimension where souls reside.
Which is strange, because the 4th dimension is a higher dimension than our world, so calling it the underworld is kind of counter intuitive..