"The Hanging Judge," by Dave Zeltserman, in Black Cat Weekly, #163, 2024.
World-building is a topic that gets discussed a lot among writers of science fiction and fantasy, but not so much in mystery. The assumption there is you are trying to set your story in the world we live in. (Historical mysteries are different, especially if they are set in the distant past where we have to speculate about how people lived.)
But this story is all about world-building. Of course, it is a fantasy mystery. Mike Stone begins by telling us "I might be hell's only operating private eye."
So the world Zeltserman has to show us is hell, but not just any ol' Hades. It turns out that every resident with a strong enough personality or "enough self-awareness" generates his or her own private hell, and can drag less aware persons into it.
Stone's problem is that he isn't getting any business. (Well, his bigger problem is that he's in hell, and the worst part of that, he explains, is the monotony. So having no business is a real drag.) He concludes that the problem might be that he did a lousy job on an earlier case, and "everything has consequences in hell." So Stone sets out to determine, this time for sure, who killed his client, a corrupt judge.
No need for me to detail his investigation. You either enjoy this sort of thing or you don't. I enjoyed it very much.