But Avici is bouddhist, so why is Komachi referring to a buddhist hell when most of Gensokyo is shintoist? Am I missing something here?

Shinto and Buddhism is pretty much intermixed in Japan. Komachi works as a shinigami transporting souls of the deceased across the Sanzu River to Higan, both of which are Buddhism concepts.

And that's just cheating, Sanae. You're not supposed to move sideways in a 2D game. Then again, she's not really known for her common sense...

Yes. Stuff like the kami, the Hakurei and Moriya are Shinto (even then, Reimu is acknowledged in Ten Desires as influenced by Tao). But Touhou's heaven, hell, the Yama, and more are all Buddhist concepts exported to Japan.

I'm pretty sure this is simply a reference to Sanae's air dash/flight in Hisoutensoku, and Hell "Narrow Confines of Avici" (where your character gets sluggish inside and it's impossible to get out.... unless you're Sanae).

Would you say that Sanae talked here?

Well, since Sanae is supposed to be silent, I've changed the translation a bit to make it work somewhat.