The lost army - Christopher Golden

The hero: forty years after being rescued from Axis powers at the end of World War II, he's a top field agent for the Bureau for Paranormal Research and Defense. He questions the unkown, then beats it into submission. And he's a blood-red, cloven-hoofed demon with a tail and a stone right hand.
The mystery: Around 525 BC, a Persian army fifty thousand strong vanished from the face of the earth while crossing the Egyptian desert. Two millennia later, amid mounting hostilities between Libya and joint allied forces, a group of British archeologists has met the same fate, disappearing without trace along the edge of the Great Sand Sea. From the legendary oasis of Ammon, the dead warn Hellboy and his companions: leave now or die. Digging deeper beneath the sands of the Sahara, the paranormal investigation team find a danger far greater than they bargained for. In the immortal sorceror Hazred, has Hellboy found a foe beyond even his supernatural powers?