In the "Coming to America" opening sequence, a group of Mexican people cross a treacherous river to make it to the States. One man nearly drowns but is saved by Mexican Jesus. When the group makes it to shore, they're almost immediately gunned down by brutal border patrol -- including Mexican Jesus, who falls, bleeding, in a version of his iconic crucifixion imagery.
Wednesday and Shadow return to the motel after escaping the police station. Shadow wants to wait for Laura, but Wednesday drives them away, seeing Laura running after them in the rearview mirror.
At the motel, Laura's car has been towed. Mad Sweeney finds her there, informs her that all the police are dead. He offers to steal her a car, working on stealing a taxi. He says that the only way he'll get his coin back is if Laura doesn't need it anymore and is resurrected separately. He tells her that he'll take her to "his friend" Jesus Christ who can resurrect her. They're interrupted by Salim, whose taxi it is. He is seeking the jinn who gave him his new life and agrees to take them to Kentucky, which is what Mad Sweeney asks for in exchange for telling Salim where to find the jinn.
En route, when Mad Sweeney isn't paying attention, Laura has Salim change course to go to Indiana, where she stops in to peek in at her family, who don't see her there. Laura's motto, as is Salim's, is "Fuck those assholes."
Meanwhile, Wednesday and Shadow go to Vulcan, Virginia to meet with Vulcan, an old friend of Wednesday's. Vulcan is the god of volcano and fire/the forge, who has managed to survive into the modern era by becoming a god of guns, running a gun company which makes bullets and where people keep dying by falling into the molten metal (effectively "sacrifices" to Vulcan).
Vulcan agrees to go with Wednesday and Shadow to Wisconsin and to forge a blade for Wednesday for the war. As it turns out, Vulcan has betrayed Wednesday and sided with the New Gods, calling them to tell them that Wednesday and Shadow are there. In retaliation, Wednesday shoves Vulcan into the molten metal, killing him, and stating his intention to make it look like the New Gods killed Vulcan for having sided with Wednesday (since Vulcan did actually make Wednesday the blade).