You were wandering through the heavens when suddenly the clouds tore under you and you fell through. Your soul fell into the world of sinners, hell.

The heavens have sent you down here despite the fact that you never sinned. During the fall you broke your wing which means you can't fly back up.

A devil was walking by, and it just happened to be Scaramouche, the prince of hell. He noticed you immediately and walked towards you. "What's an angel doing here huh?"