Thanks.
From memory of my notes I think that Jung was not consistent on this point. Earlier he had stated that the Devil is the missing fourth. As I mentioned in the article, he believed that the Holy Spirit could be taken to be the missing feminine. That would reconcile both the opposites of good/evil, and masculine/feminine, which makes the most sense to me.
So I'm not clear exactly how he interpreted the Trinity/Quaternity. It's possible that what I mentioned in this article is his interpretation of the Catholic doctrine of the Assumption, rather than what he thought. (I haven't read A Psychological Approach to the Dogma of the Trinity for a long time.) What is clear is that the Christian Trinity is inadequate.