The hole in the ground is called "Angband". It is not a nice hole. However unpleasant a hole you are imagining, it is probably worse than that.
The orf knows how to live in this hole. If she waits until the blacksmith from division 209 is in a good mood she can sit in her smithy and watch sparks fly, bright and hot against the darkness. If she's well-behaved and submissive and quick and clever she can pretend to be an Elf, a real Elf or an imaginary one, for some hapless prisoner whose plot arc needs more personality diversity or a few extra facial expressions in a crowd scene, and get memories of that Elf or at least a skeletal backstory and add precious songs to her repertoire. If she goes down this staircase when a mission's gone well then she can get roughed up by Weird-Ear's squad and look battered enough that nobody else feels obliged to make up the difference for a week, but Weird-Ear doesn't mind getting her turned on first so it's much better than running into somebody with more refined sadistic tendencies. If she goes up two floors and over half a mile of dicey corridor navigable only by copious mindreading she can visit the spot where her mother died, but she doesn't usually do that. If she gets a scar that doesn't seem like it'll fade she can get a bit of the kind of white rock that makes scratches on the black stone of the fortress and show the tattoo artist from division 447, three hours' walk away, how she wants it neatened up and colored in or scarified - she's got a waterfall of overlapping circles burned into her shoulder, spirals up her calf, a field of bowing wheat scratched in over the whip marks, shooting stars down her temple from when she visited the blacksmith in a bad mood and she grabbed her by the hair and held her face near the sparks till she'd apologized enough.
If she goes alllllll the way up, and avoids the guy who likes feet who'd make it hard to walk back and avoids the Balrogs who are too hot to even get near and avoids the entirety of division 192, she can find Thuringwethil even when they aren't working on the same hallucination together! And she can bow very very deep.
Her wings, stretched out behind her, go from smoke to muscle and sinew. She scratches her back.
"To the point, dear, I am mostly occupied." She's a Maia, 'mostly occupied' could mean a dozen hallucinations or discussions or projects in progress without any difference the orf would be able to see.
She laughs. "That's a very bad idea, dear."
"They'll kill you, they'll kill her, and if here's no place for a child to grow up at least it is a place where a child grows up, in Mandos she'd just - be. Forever. You wouldn't even be able to find her. And that's if you make it out."
"She's not pretty, she'll have it easier."
A wing reaches out to pat her back. "Hey, hey, if you want to fruitlessly die I'm not saying no."
Sigh. "What do you need?"
She laughs. "This sounds like it will be tremendous fun. They won't give you yours -"
" - how do you know what she looks like?"
"His lordship's boyfriend is perceptive. They've been going through mediocre actors pretty fast."
"It's still a bad idea."
"I hope they kill you quickly." And now the orf is over here, and a wing holding her there. "But I'll do it, if you're sure."
She laughs, again, and then leans in and kisses her and runs wingtips through her hair.
It's unusually gentle, almost affectionate. She'll still probably have a bit of a hard time standing up when they're done.
Pat. "Do try to at least make it to the enemy before you die, his lordship would be so annoyed with me."