I don't think it's wrong to lie to Demogorgon. It's your only chance of escaping. There's the question of whether it's OK to lie to someone who is evil. Maybe not, in some cases, but it would be virtuous to lie to a Nazi to escape a concentration camp. This isn't quite the same, since Demogorgon isn't the one who got you stuck in Watcher's Keep; however, he is evil and he is keeping you there.
Under the ordinary round of daily existence, lying is wrong. This isn't the ordinary round of daily existence though. I also think paladins should be able to lie, spy, mislead and obfuscate if they have to. It's both stupid and wrong to assault a bandit camp head-on if you can infiltrate it and destroy it from within with a better chance of success.