"What fresh hell is this?" is a quote originally by American wit Dorothy Parker. It's an overly-poetic and dramatic reaction to a new situation... such as a knock on the door. The word "fresh" suggests "new", ie. the person is already experiencing hell, and the new situation is another hell. So yes, Sheldon is quoting here.
"The hell" in "What the hell is this?" is merely emphatic. These are two entirely different quotes.