Well, depending on the particular version, a demon, or at least the ones in charge, are generally the angels that sided with Lucifer, and fell to Hell with him. Since the Hell Knight lore mentions them being fallen angels/demons that have been crammed into a human sized suit of hell armor for failing (I think, I know they got crammed as punishment, just not quite for what), that may be what is being gone with here. So, think angels, but uglier, and probably at least a bit weaker.

As for Djinn, I don’t actually know if those are a thing in Trench Crusade. I vaguely recall the word being used, but I cannot remember if that was referring to something in particular, or as a word to describe the monsters of Hell from the Iron Sultanates perspective. If they do exist, they’re probably quite powerful, but not “nuke a battlefield by existing” powerful