I have a theory based on a couple theories written on here that it's Chanel #5 or Grace and neither of them used Pete's help. Pete confessed to being a murderer at the end of the episode and it was shown that he still owns the Red Devil costume because...
Theory #1: He dressed up as RD to kill Gigi at the beginning of "Thanksgiving"! Remember when Gigi made that odd coment about RD not talking to her as if it were abnormal? That could've been because Pete was in the costume and knew that if he talked then she would've known it was him and not the real devil!
Theory #2: He dressed up as RD to kill Boone and that explains why the real RD is confused when Gigi says "I'm sorry you had to kill your brother" to them at the beginning of Thanksgiving.
In both theories, I'm suspecting he was working with Wes and that's who he was on the phone with. I don't think a lot of lying goes on in this show and so when Pete suspected Wes in Thanksgiving he was probably honest and then later made a new plan with him when they found information on Gigi or something.
I have tons of theories about small things but just wanted to make sense of one thing at a time, as I feel like Pete's confession is Ryan Murphy's way of having a cliffhanger even though it's not a big deal.