If you play Breakfast in NYC backwards you can clearly hear Shaun confessing his sacrifice of the 'Real' Rocky (The replacement Rocky would be entirely convincing if it weren't for his voice being completely synthesized on a vocoder, as evidenced in a number of Oppenheimer songs) to the Lord Satan and his penchant for drinking children's tears. Also, there's talk of the duo getting together to devour a baby seal cooked in its own fear.
True Story*
*May be lies.