what comforts Death as he comforts his duties?

At one point Death is carrying souls from the gas chamber in Auschwitz, Death imagines the composition of the sky beyond the rain clouds that cover the death camp. In the face of remarkable tragedy, Death expresses optimism that beyond the horrors taking place on Earth, there exists a vivid and unquestionable hope. The "giant blue eye" is potentially a watchful and just God, whose sight has been obscured while His Chosen People are being massacred by the Nazis.

"Sometimes I imagined how everything looked above those clouds, knowing without question that the sun was blond, and the endless atmosphere was a giant blue eye."

Death, p. 350