I see why people are making the Mephisto connection based on all the stuff in the comics with the twins and everything but people have also been mentioning that this show is supposed to lead into the Dr. Strange sequel, that sequel deals with the multiverse and the first Dr. Strange movie introduced a bad guy who is magic based and who wants to conquer the multiverse in Dormammu.
So to me the odds that they have just cast a guy to be the physical manifestation of Dormammu is more likely than them just introducing Mephisto out of nowhere.
And if you need a comic connection, Scarlet Witch defeated Dormammu when he had taken out all the other Avengers and then he kidnapped Scarlet Witch (and Agatha Harkness) from her wedding to Vision as revenge.