Telepathy doesn’t tell you much about where the person you are communicating with is
The rules for Telepathy, at least as far as it applies to communications available to monsters, are laid out in the Monster Manual (under Languages, page 9 in my version).
The important bits here are (paraphrased):
- The creature target with Telepathy needs to be in range
- If the contacted creature ceases to be in range the communication link breaks
- The contacted creature doesn’t need to share a language with the Telepath
- The Telepath does not need to be able to see the contacted creature
In particular, notable by their absence:
- Nowhere is it specified that Telepaths need to know the location of the creature they’re contacting
- Nowhere is it specified that Telepaths learn the location of the creature they’re contacting
- Nowhere is it specified that there needs to be a direct, unobstructed path from the Telepath to the contacted creature.
- Nowhere is it specified that the Telepath knows if the message it was sending is indeed received
But the Bone Devil might find the party in this particular situation anyway
So about the only useful thing the Bone Devil can learn is if the creature it is communicating with is in range (120 feet for this creature), and even that is only the case if the contacted creature replies. As long as they keep talking, a Bone Devil (an intelligent creature) might use this knowledge to attempt to pinpoint the location of the creature it is talking to by seeing where the contact breaks. If the Bone Devil has an excellent spatial sense and a grasp on basic trigonometry they will be able to locate the party this way by finding three points where the contact breaks (one already gives them a general direction to look in, and two narrows the location down to two possible points one of which may well be implausible). They won’t automatically see through the illusion, but given that they know now where the party is they may have cause to doubt it and investigate further, and Minor Illusion doesn’t hold up well under scrutiny.