I just looked at the map and discovered that Arkansas is right next to Mississippi which I didn't know. So (as I said in a comment) the Hot Springs that Robert Johnson sings about is almost certainly that one and it is almost certainly the own that the Devil's Son-in-law is singing about. (Notice the foot note about Hot Springs in the link - the comment about Hell is bogus IMHO)
Yes, Hot Springs was (is) known for the "curative powers" of its spring water. It really does come out of the mountain steaming hot. Long ago, it attracted all sorts of famous and infamous types to it's many bath houses (some of which are restored and wrth touring). Also, it's the home of McClard's, generally regarded as the "world's best barbecue." Oaklawn Park, a well-known horsetrack, is also there.
jack