Vox decides to be away from Hell for an extended vacation, and to stay on Earth, because he's been through a lot: in a toxic relationship with Val, being enemies with the Radio Demon, Alastor, and people hating him. :<
So here, he's in the living room, hugging a pillow, and was crying, similar to how Blitzø did at the end of the Season 1 finale of Helluva Boss.
Scene referenced