Fine-tuning large language models (LLMs) faces significant memory challenges due to the high cost of back-propagation. MeZO addresses this using zeroth-order (ZO) optimization, matching memory usage to inference but suffering from slow convergence due to varying curvatures across model parameters. To overcome this limitation, We propose HELENE, a scalable and memory-efficient optimizer that integrates annealed A-GNB gradients with diagonal Hessian estimation and layer-wise clipping as a second-order pre-conditioner. HELENE provably accelerates and stabilizes convergence by reducing dependence on total parameter space and scaling with the largest layer dimension. Experiments on RoBERTa-large and OPT-1.3B show up to a 20× speedup over MeZO with an average accuracy improvement of 1.5%. HELENE supports full and parameter-efficient fine-tuning, outperforming several state-of-the-art optimizers.