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The Deep Blue Sea was a member of the Pageant, as was the Devil. (PROSE: The Man in the Velvet Mask)
"Caught between the Devil and the deep blue sea" was a phrase similar to "caught between a rock and a hard place". (PROSE: Infinite Requiem, Eye of Heaven, Vanishing Point, The Bodysnatchers)
An alternative take on the phrase was "trapped between a nuclear firestorm and the deep blue sea". (PROSE: Beige Planet Mars)