I think it's talking about the afterlife and wether we go to hell or heaven and if there are such things. He's using Cars and racing references to illustrate the race through life.
"Hell or glory, I don't want anything inbetween" then I think he might be talking about jesus and god with "then came a baby boy with long eyelashes (jesus) and daddy (god) said you gotta show the world the thunder" (show the world the light).