During Between Heaven and Hell Vassago serves as Lady Death's charger and leads her into battle with Purgatori. He keeps her company during the lonely eons when she travels around the Endless Graveyard. 
 
At the end of "Between Heaven and Hell" Lady Death sends mental instruction for Vassago to ride to her side. It does and they escape Lucifer's clutches briefly as she rides towards the Nexus of All Things, hoping to escape.  
 
In Hell Pagan is setting himself up as a new ruler and has chained the uncontrollable Vassago in his castle. Evil Ernie in his hunting for his missing mistress finds Pagan is responsible for her incarceration and goes to confront him. In a last ditch effort to avoid death at Ernie's hands Pagan threatens to behead Vassago with an axe. Smiley takes it on himself to fly off and bite Pagan's foot and Ernie leaps in beheading Pagan instead and freeing Vassago.