Do the demons have a navy?
That's complicated. The demon world is a lot like the human world - there's land, oceans, lakes, rivers, deserts, forests, mountains, etc. However, unlike the humans, the demons do not have wars amongst themselves. Because all of their enemies are outside their world, they have no need for an actual Navy. Most of the battle takes place on land where both sides can meet.
However, the demons have taken over a lot of things in the human world, and a few Navy fleets is sure to be one of those things. Demons, like humans, have different professions, and sailors are one of them. Soldiers could have also been trained to sail, and the ships the demons have taken will have surely been updated with demon technology.
I hope that answers your question. If not, please let me know and I'll try again!