In the series finale — Episode 10, “Partners ‘Til the End” — Rory has been kidnapped by Vincent Le Mec (Rob Benedict), the same mercenary who murdered Chloe’s ex-husband, Dan (Kevin Alejandro).
Lucifer and Chloe come to Rory’s rescue, dispatching many of Le Mec’s henchmen. And when Lucifer reaches Le Mec, he offers his life in exchange for Rory’s. Rory frees herself from her restraints and corners Le Mec, intending to kill him, but Lucifer convinces her not to.
Then, of course, Le Mec lunges at Rory again, so Chloe shoots him in the chest, and Le Mec dies after impaling himself on one of Rory’s feathers. Just before he expires, though, he reveals that Dan “saw the light” at the time of his death and thus made it to Heaven.
Later, during a family confab, Lucifer realizes he helped Dan out of his Hell loop and into Heaven, and he could do so for many more people.