I think it can make sense in the context of American Gods' world: The gods are reinterpreted as Americanized versions of themselves, so Shadow is like a first generation American Baldr—a mix of the immigrant parent's old world and Western/American ideology. Or Shadow is Baldr, but this version has shades of Jesus…

Said Indian restaurant is Panna II on 5th st. & 2nd ave. in NYC. I don't even like Indian food, but it's a delight eating there. :)