depends.. in the Earth x stories Dormammu was just another version of Mephisto but despite the fact that's the only other universe where Thor is an Alien not a Deity.. not sure if they will do that.
but no they aren't the same thing if not. Dormmamu is a conqueror from another dimension plus Clea from the comics is the Niece of the comic Dormammu so there is that. that plus he's the ruler of the Dark Dimension which is different than where Mephisto is.
Mephisto rules a pocket Dimension that he calls hell (or did in the comics) it isn't hell but named similar.. anyway the marvel comics has several death dimensions and that is one of them but the Dark Dimension isn't a death dimension.