Deep under the earth, in a stock standard "Deep Dark Cave" is the entrance to the underworld.
It's a very real place, and visible from the far bank of the River of Souls, but no living person can enter. You get a free ticket once you've died, but anyone still living will die once they cross to the other side of the river.
Enter "Mr. Immortal 2007, regional winner". He's an everyday World-Bending Immortal Wizard and very much the definition of "Won't Die". He's at the far bank of the river, contemplating getting to the other side.
What happens if he tries to cross the river?
As he crosses the river in a small boat, Hell fades away in front of him as anyone else in the boat falls limp and he's left alone on the other bank of the river looking at a rock wall...
He tries to get in the boat but an invisible force physically prevents him from leaving the riverbank and he can only watch as anyone else who crosses ventures off into the underworld, leaving him stuck in the living side.
Some other 3rd thing that I'm not smart enough to come up with.
I feel like both options could work, but I'm not sure whether to make Hell a "Real Place" which some sort of barrier preventing entry by immortal people, or a "Meta-Physical Holiday Spot" which is visible from the outside but not actually a part of the world... so it disappears from view as he passes the entrance but can't get in.