The “rich man” in Jesus’ parable is not pictured as going into Gehenna, because Gehenna pictures utter destruction and the “rich man” would not properly be pictured in the parable as talking out of utter destruction. Moreover, some individuals who have found themselves in the religious “rich man” class have got out of that class by becoming Christians and thus have escaped from the tormenting experience of the spiritually dead “rich man” class. Saul of Tarsus, a Pharisee, felt great torment for a while after Pentecost of the year 33 C.E., so that he became a persecutor of Christians. But afterward he got out of the “rich man” class and joined the Lazarus class in Abraham’s bosom, figuratively speaking.—Acts 7:58-60.
See also The Watchtower as of February 15, 1951, pages 113-126, and as of March 1, 1951, pages 141-156.
So the “rich man’s” being “in anguish in this blazing fire” is pictured as taking place with him in Haʹdes or Sheol. As he talks to Abraham across a gulf, he is pictured as being where the dead Abraham is.