Hell hounds are a part of the psychopomp category of spirits. This means that if it really is a hell hound, your son is attracting the interest of a being over death. If he is suicidal then I would take his thoughts very seriously. Psychopomps reap and animalistic ones like hounds hunt. What that means is, they tend to have the capability to make something otherwise dismissed as insignificant into something potentially life threatening. If he feels it is chasing him, then I would definitely consider that it is in fact preying on him. Suicidal thoughts could quickly escalate to suicide attempt with no warning.
When a psychopomp chooses someone, they create a link. This link needs to be broken otherwise any protections placed on the person will be entirely useless. After the link is broken, protections can be introduced to effectively ward away such things. And in my experience, once someone is marked by a psychopomp, they will need to continue protection indefinitely. Such beings don't just give up. They're very very patient.
My way of breaking such links is not going to be your way of breaking such links. I do not know your level of experience in magick. PM me. We'll talk.