If for this assignment, you need to write an introduction and a thesis, one thing to keep in mind is a thesis has to be specific: it needs to contain your argument. What it is you are trying to prove and how you intend to prove it.
So, the starting point here is simple: the question is focused on literary representations of the Underworld, so which ones are you looking at? Two clear possibilities that jump to mind are the Greek Hades or the Christian hell, so which sources and documents are you looking into as you approach this question? Dante is one, or The Odyssey or Aeneid. There are a lot of sources you can work with. From there, you need to look at the visual depictions, how artists have been influenced by these visions and narratives and made use of it in their own artistic efforts.
If we're looking just at European history, we might think about Renaissance painting, and move forward into the Nineteenth Century. There is a strong focus on the imagery drawn from Classical Myth, just as there is a strong tradition of Christian imagery which artists have made use of over the years. It might also be useful to think about how these two merge together—specifically, in the way the Pre-Christian Classical images of the underworld have been pulled into Christian arts (and literature) and the more complicated picture of how that imagery has evolved. If you'd prefer, you can also look outside the European context altogether, towards something like, for example, the Buddhist or Hindu equivalents to Hell, and look for similar depictions in the art. Or, if you're feeling really ambitious, maybe you want to look at the full variety of different traditions from around the world, and see how this picture emerges.
But that is the starting point: you need to find which culture you want to look, and consider how they perceived and understood the afterlife. What is the literature and cultural context? Once you have that context, you can better understand these visual depictions, and hopefully your argument will come together.