Now, I'm sure a number of people will probably say "I guessed that they were in Hell." And I'd agree with you--there really should be no doubt after Jack the Ripper makes an appearance.
That being said, I think the writers knew that you would know. They didn't act like it was a huge shock and end it on "We had landed...IN HELL" like The Twilight Zone would have. Rather, they continued on after the revelation and ended the story on a much more subdued note.