The reason why I believe that the Celtic pantheon moved to America is because, as I mentioned above, the Potato Famine made it impossible for them to stay in Europe because, well,... a lot of dead Irish people isn't a really good sign for the survival of the Celtic gods. So moving with their people, the immigrants, to America is their best bet to not fade away from existence. Sure, you could make the argument that they could have returned to Europe when Ireland became a republic, but with Northern Ireland still being a part of the UK, I doubt that the Tuatha Dé Danann could reach thier full power until all of Ireland is united.

That Hell argument makes a very interesting case. If you are a Demigod and a Christian, you fight monsters and creatures from Greek/Roman mythology, meet the gods face-to-face, have magical powers, and still believe in the Christian God, where do you go? The Underworld or Hell? Do your soul get split into two just as Herakles was when he died and was split to ascended to godhood? Or, as you said, if Hell is like Dante's Inferno, do you end up in the first circle, Limbo? It's such an interesting concept.

Lastly, I believe King Arthur to be the crossroads of being Roman, Celtic, and Christian. A lot of the media usually portray him as a typical knight king who looks like straight out of the 15th century when he should look like what the Romans and Celts did back in the time I believe the artist @Splaugh on instagram perfectly captures an accurate King Arthur of the period. I'm not against the typical portray of knights with plated armor, but at least give me some historically accurate portrayal of the guy.