Zatiel could stare at the woman through the Corrupting Mist Cocoon since he controlled it. As for the Rank 9 Archdevil, her sight seemed capable of crossing every obstacle in her path.
The Neo-Demon had no idea who this Archdevil was. He had killed every Devil in Avernus and Dis in his past life, so this one must be one that rose during his absence.
All Devils are paranoiac by nature, so the fact there was no information about this Rank 9 Archdevil was not something odd. She may only show herself because she was sure no witnesses would be left.
Luckily after seeing the erratic state of her consciousness, Zatiel managed to decipher how she found him.
Archdemons would only bother to do a random check-up of their soldiers once every few thousand years, but Archdevils were much more diligent.
The woman must have attempted to communicate with the Rank 8 Archdevils under her command, and once she failed, head to their cities.