The Hellknights are an order of lesser nobility in the Red Empire. They are not the immediate authority like the local authority of each city (Crownkeepers in Westcrown or Baleson and the Deputies of Boar’s End).
The Hellknights the Group has met were from the Order of the Pyre. The Pyre are specialists in hunting WItches, occults, and mages. Broken has met members of these knights when he was young because of he newfound talent as a mage.