Between the Devil and the Sea by Chani Lynn Feener

What happens when a devil claims a demon?
Detective Shadow Yor hates his life.
He spends all of his time, day after day, struggling against the demons in his head that tell him he’s a worthless, unlovable person. This doesn’t change when he’s sent on a new assignment with his partner to solve a series of murders. He’s good at his job and will find whoever did it, there’s no doubt there. The only question is whether or not he’ll be able to keep himself together, or if his empathic abilities will finally be the death of him.
Apollo Orobas is bored.
He’s bored of his secret nighttime proclivities and bored of playing the part of charming neighborhood do-gooder. Apollo isn’t good, never has been, but just when he’s starting to think life holds no interest, Shadow Yor stumbles into his sights. It doesn’t take long for him to figure out the detective is also hiding his true self, and suddenly coaxing Shade’s monster out into the light is all Apollo can think of. As obsession sinks its claws in, he decides it’s time for a new game, one Shade is going to play with him. Whether he likes it or not.
Kidnapped and forced to endure whatever twisted plans Apollo has in store, Shade struggles to hold onto his idea of right and wrong, but the more he tries to resist, the more those lines start to blur. What chance does a mere demon have against an actual devil? Especially one who soothes those twisted voices in his head and makes him feel for the first time ever that maybe he isn’t as unlovable as he’s always believed.