The Tragical History of Doctor Faustus is an English play by Christopher Marlowe, based on the German legend of Faust which dated to the 1520s or therabouts, in which a man sells his soul to the devil for power and knowledge. Doctor Faustus was first performed no later than 1592, but not published until 1604.
When Christopher Marlowe fled London after the Spaniards attempted to arrest him for sodomy, he had a boatman take him to Deptford. The boatman asked him where he wanted to be rowed, Marlowe answered he could row him to hell and then added "Why this is hell, nor am I out of it", a line from his own play The Tragical History of Doctor Faustus.
After escaping NaziGermany for Denmark, only to have that country invaded and occupied by the Nazis, Peggy Druce thought of the line "Why this is hell, nor am I out of it." This was a line she remembered from college literature courses, but she couldn't remember which play it came from.