I wondered how they were going to pull that off, but it worked.
It's pretty clear where God is; he was in New Orleans all along. The guy dressed like a dog, as in the first person in the first bar that they visited. When Jesse looks in the messiah's notebook, it's all pictures of the dog.
Still not a perfect show. I recognize the issues and costs with making this truly a "road" show, but things seriously stagnate when they stay in one place for too long.