As stated previously by Aidan Williamson:
An expression of great confusion, or bewilderment; A strong demand for answers; An emphasized version of "what is that?"
Used in the same way as "What the Hell?" is used. Variations can be used, e.g. "What in The Nine Hells is that thing?"
However, the origin is not, as he said, Forgotten Realms; it is an allusion made to Dante's Infreno, from the Divine Comedy. In the Divine Comedy, Hell is divided into nine circles, each one representing a different sin or crime.
The nine circles span from
Limbo (for those who have committed no great sins, but are not admitted into
Heaven because they do not believe in God), to the ninth
circle where Satan himself resides (a circle reserved for
people who have been treasonous against friends,
family, and their nation.)
