Throughout the episode there are references to how these other gods fit into the history of mankind. Kali says "We were here first (before God & his Angels)" which Lucifer seems to validate by saying "No wonder you forfeited this planet to us". But in "The Man Who Would Be King" (S06E20) Castiel recalls seeing the earliest days of mankind's evolution & that even then the angels knew how things would play out. If Earth was forfeited to God & his Angels, where were they before that?
At the beginning of the episode, Mercury is quoted telling Sam and Dean the hotel has the "best pie in the tri-state area". A tri-state area is a city located in 3 states. Muncie, Indiana, where this episode takes place, is located in the middle of the state, approximately 1 hour from the nearest other state (Ohio)
Actors who play Pagan Gods match the origins of the respective deities (Kali looks distinctly Indian, Odin matches the looks of a stereotypical Scandinavian, Zao Shen is played by a Chinese actor etc.), yet Ganesha, a Hindu deity, is inexplicably portrayed by an actor of African, not Indian descent.
When Lucifer arrives at the Elysian Fields motel and kills many of the pagan gods in the hallway, one of the supposedly dead characters blinks (lower left-hand corner of the screen after Lucifer breaks a god's arm and the camera pans out and Lucifer walks down the hallway).