Are there any differences between .... ?
Short answer: Yes.
In my answer, I am replacing "fu_k" with "fudge".
Definition from Collins: A "fudge" (noun) is "an undesirable or contemptible person" (AmE definition no.7 - Slang).
The difference between the two forms "What a ... !" and "What the ... ?" are in their usage and meaning.
But first, note that both "What the hell?" and "What the fudge?" are emphatic expressions used by people when they are extremely surprised or extremely annoyed/irritated at or by something. See the definition of "fudge" in Collins.
See Exclamations in Cambridge dictionary for the construction "What a [noun phrase or noun phrase + verb]!" Em. pointed this out to me in the comments.
Second, to be able to distinguish between the two ('a' and 'the' versions), you would need to have the former in a non-question form (i.e., 'What a hell!' and not 'What a hell?').
"What a hell!" can be used to describe certain situations (note the use of exclamation mark as opposed to the question mark - this is in OP's question). "Hell" is defined as "an extremely unpleasant or difficult place, situation, or experience" (Cambridge). Based on that, you can of course say "What a hell!" if you are referring to an unpleasant situation: "What a hell [this place is]!"
Imagine the situation in BestBuy on Black Friday. One could easily say "What a hell [this place is]!" on that occasion to describe the madness, and it would be understood just fine. This expression is used to add more flavor to an observation.
"What a fudge!" can be used similarly. We often say "What an idiot!" and "What a dick!". If I hear someone say "What a fudge!", I will interpret it in the same manner as "What a dick!". I have heard "What a fudge!" only twice in my life (I remember because I frowned at it and asked my friend what they meant). It is used in the same sense as the other examples. If I had to define it, I would say a "fudge" is a person with less than undesirable qualities.
Don't forget the other use of "fudge" which we like very much.
A "fudge" is "a person with whom one engages in sexual intercourse, often, specif., one of specified competence" (Collins)
In this case, "What a fudge [she is]!" is actually describing the partner—bringing attention to their sexual prowess. This essential means "What a great sexual partner!", as Em. says in the comments.
One can also say "What a fudge [that was]! The best I have ever had!" after a satisfying session of sexual intercourse. This would be the same as saying "What great sex!"