There are paladins in Cheliax?! You'd think they would burn it down. You are right though. Asmodeous is about loopholes. But I was just trying to make an example. A cultural code of ethics would still be a personal code of ethics. Sure you pay your taxes, but do you feel compelled to report the fifty bucks your friend payed you to help him move. It was income. A lawful person would include it. A neutral person would not because it wouldn't matter. A chaotic person doesn't care. But enough of my long winded musings.
I think a paladin in Cheliax is not entirely unthinkable. Cheliax is evil, yes, but it's a shrewd way of evil. The reverence to devils is still something relatively new to the cultures, it's not like everyone in Cheliax was forced to bow to Asmodeus. It just comes with a great promise of power, if one manages to proof skill. House Thrune would rather use other faithes to their benefit and bribe people they can use off than outright forbid other faithes. While this is subject to interpretation based on what information I have, the common people in Cheliax regard Asmodeus with fear but they are more likely to pray to other deities and simply look aside when they a devil being worshipped in public.
Shelyn for example is still held in great esteem in Cheliax, but house Thrune manipulates other faithes in a way that they are interpreted. While Shelyn is important to Cheliax culture with all its love for vast operas and epics, she is revered more in the way she was long ago, before her conflict with her brother Zon-Kuthon, more like a shallow, vain goddess who is ultimately uninterested in the faith of others.
The hell knights, despite the oppressive way they present themselves, are not an evil organization. They have a strong focus on lawful neutral members. While the teachings of Asmodeus found their way into their tenets, so did those of Abdazar and Iomedea. A hell knight whit likely regard a paladin of Iomedea as too soft-hearted and inconsequent, but not really as an enemy. Their primary dealing with devils is for the purpose of target practice. There are a few evil members in the ranks of the hell knights, just as there are a few good, but the focus on true lawful remains.
Finally Cheliax likes to present itself as sophisticated Empire to the world. I wouldn't be surprised if even their own enemies, Andaron and the Eagle Knights, have representations in Egorian. If you read through the entries of the Eagle Knights, they are usually seen with suspicion and shunned in Cheliax, but not arrested on sight.
So, all in all, I don't think it's impossible to be a paladin from Cheliax. A paladin would have a very difficult, but not impossible standing there. Especially in rural areas I find it thinkable, in the big cities they would be forced into too much compromise to remain a paladin. Like a monestary that is tolerated by House Thrune, somewhere very remote.
In my view the evil of Cheliax is the slow, corrupting kind. The kind of evil that comes with a smile.