They unwittingly step into a war between gods, most notably Mictlantecuhtli, the Aztec deity of death, who resents Constantine's intrusion into his business.
There is also a sculpture of a serpent with an image of Mictlantecuhtli at its base.
Similar to her meeting with the god Mictlantecuhtli, during which she is granted a great deal of magical powers because she made the death-god laugh, Fanny and Jack Frost dance for an entity called "Harlequinade", who gives them an artifact known as the "Hand of Glory" in exchange.