Maybe his borrowed body didn't last that long and he died shortly after getting Yuri pregnant. Then the Blue Night was just as they showed, him trying to find a body to save her...
Maybe she was murdered for having conspired with him so he burned everithing in fury
wait, satan and lucifer are different people? huh. And why was he such a little fire thingy
Satan and lucifer were different people to begin with and has been implied since the beginning.
As to why Satan was the little fire thing (Aka will o' wisp/rinka/ etc.) it should have been explain in some of the previous chapters.
It's been a while for me so I don't remember which chapters and how thorough it was explained lol.
I don't know, I feel like satan genuinely cared for Yuri but maybe at some point when he sees the ugly side of humans he decided screw this let's burn everything. ¯_(ツ)_/¯