It's something I've thought about a lot!

I think Reigen would be a sinner (a once-living human soul damned to Hell) with a cockroach form (most sinners get an animal-based forms and there'd be no greater a torture for Reigen than that) and Mob would be some sort of hellborn (something created/born in Hell, as the name suggests)--I'm tempted to go with a hellhound because dog!Mob is underrepresented and hellhounds seem to fit that mold of being both powerful yet hieararchically subservient.

Reigen's life in Hell isn't much different from the one he had on Earth--he's still running a business scamming others out of their money via life advice and other Hell-based problems, but now he's doing it under the guise of being an overlord (sinners that have basically gotten far enough in Hell that they attain a high-ranking status in society). Things change when a certain unassuming hellhound enters the building looking for help, things unfold like they do in canon with Reigen giving Mob those life-changing words of wisdom, Mob inadvertently reveals he naturally has magical powers (something neither sinners nor hellborn have), and Reigen promises to use his status as overlord to continue mentoring Mob, while Mob being there helps buff up his false "overlord" image.

And that's about all I've got! Oh, and they share a building with the IMP crew (an assassination business) from Helluva Boss, of course. I haven't thought of what shenanigans might come about from that yet.