EDIT: After reading the entire comic, I feel it's important to mention the crucified cowboy also has a gun pointed at his head, with the trigger tied to his... well... you know. Which is why he's not too happy about the naked woman.
And no, it does not make sense in context.
I think this is a good place to mention the infamous lost painting on the Salyut-7 space station with a crucified cowboy, a naked woman and a crying horse: https://www.smbc-comics.com/comic/the-painting
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