Here. A little house on the prairie, where his family resides. The afterlife hasn't treated them well, and they still haven't recovered from the gruesome deaths they suffered in life. Welcome home, Blue!
Back at the orgy, Nick finds out from Amanda that she's pregnant. When he tries to annihilate Sonny, the Wishees sic him. So he tries another tactic: taking Amanda (and her baby) hostage. He gets out of there.
Amanda tells Hailey about the pregnancy, and that it was the hormones that made her act so strangely (questionable diagnosis). She also assures her that when the baby comes, they (Nick too) can all be one big happy family again (questionable prognosis).
Merry visits Santa Bianca, the needling nun, at prison, and asks her about Blue/Orcus. She says that Orcus is the god of death, who has been behind the assassinations of all the most beloved figures in history – Abe Lincoln, JFK, John Lennon, MLK. He orchestrates them with the use of the Wishees. Next on the list is... Sonny Shine.
Taking a break from subduing Amanda, Nick talks to Happy about his romantic problems with Bo Peep. Everything went great, so Happy thought, so why isn't she calling him? Nick's advice: go sow your wild, imaginary seeds, Happy.
Nick returns just in time to keep Hailey from unlocking her mom's handcuffs and letting her free. Then all the secrets come out: the kidnapping, the cover-ups. It's too much for Hailey to handle. So she runs away. Not a good time, because Happy cues us in to some intruders at the house.
In a flashback, we learn that after Sonny surgically experimented on Smoothie (and his eye), the Wishees spoke to him. They communicated Orcus' message to him, and told him to meet Blue/Orcus in prison. Orcus was easily able to get Smoothie on board with his plan to... kill Sonny Shine.