between the devil and the deep blue sea

Between the devil and the deep blue sea is an idiom which is referring to dilemma in which you must choose between two undesirable and unpleasant situations. This cliche is similar to the cliche between a rock and a hard place but is simply another way to phrase it, though more uncommon than a rock and a hard place. It means to be stuck in a situation which unpleasant ways to get out of it.