I think this mostly comes down to questions.
Something fun about art, is looking across the piece and questioning it. Don't get me wrong, it should mostly be understood at first glance, the story should be clear. However, questioning art gets more out of it, and if the artist does a good job considering each stroke, or each object in the painting, a lot can be gained from that. For example, asking why there is a scar on a characters nose, or what a bloody knife in a room has to do with a murder, everything in a canvas should try to tell a story, and each detail you can squeeze in without making it too complex, will only be to your benefit.
Now, this is if things are presented right. You have to learn to express form properly, you have to understand color theory and composition, proportions and perspective, anatomy and poses, expressions and story. It is usually a nice cocktail of all these elements that the artist managed to balance and paint.
With your piece, I am instantly put into a "question" modus, which is not necessarily negative. When this happens, it is because the piece is mysterious or symbolic, craving additional attention to be fully comprehended. With your piece, I am put into this mode because of lack of clarity, so it is already requiring more from the viewer to simply be understood because of this lack, and that is never good. Remember that viewers usually only sit around and stare at a piece for a few seconds before going on with their day. So why am I put into this mode?
Well, let's talk about background and foreground. These work like planes or layers, and are usually different from each other. And although yours manage to do that, it doesn't do it in any comprehensive way. We see a character on the front, which is all fine. There is far too much darkness behind the character, almost as if you erased it. The canvas might as well be smaller, as you haven't used this space for anything but composition. The background, or where the character is facing, is a cluster that does not make any sense. There is some red lighting and lightning as well as a pentagram, which symbolically is hell. There is virtually nothing to stare at besides the character.
The character has issues of its own as well. There is a lot of characterization, such as the bloody hand mark on his or her back, the broken? and bloody wings, the lack of hair and what I think looks like bones sticking out from the wings. This is all fine, it shows a lot about the character but in the end it is very difficult to look at. Vignette and hell aside, the colors are a bit painful to look at. The wings are purple and red, the same color as the rest of the painting. They are dark and white, but not darker or brighter than the background and foreground, making the character very awkward to stare at. The rendition is very weird as well, as you hint at bones? or feathers? sticking out of the wings, yet, they look like white paper strips that have been soaked in water. The bones sticking out of the wings look very papery as well. I am not a wing expert, but I think there are some anatomical issues with how they stick out from the scapula as well. When your character is virtually all the viewer is going to look at, make sure it is nicely presented. As for colors, they are washed out, there is too much contrast and you lack desaturated colors. You have too much red (remember purple is also a warm color) which makes it unbalanced.
In the end, I think more effort has to be put into FORM and expressing SHAPES than special effects such as light. Try to tell a story with objects and structures, instead of just having red lightning blasting over the character, why not render the environment around the character? rocks or spikes or whatever to make this a physical place and not something as abstract as this. Anyway, I just realized that this vignette is supposed to be some kind of smoke. Hopefully this critique wasn't too messy, and I hope it helps you in the future 
