I assumed Dick made up the name Zagreus, but it turns out Zagreus is a character in Greek mythology, although his lineage is convoluted. Dick is going with the idea that Zagreus is the son of Zeus. Zeus tried to hide Zagreus from Hera and the Titans, but eventually the Titans found Zagreus, tore him apart and ate him. Dick draws a parallel between this and Jesus who Dick imagines was hidden on Earth by God until we (the titans) killed him and later ate him in our communion ceremony.
Dick goes on to talk about the “Hymn of the Soul” in the “Acts of Thomas.” In that parable a man retrieves a pearl from the mouth of a dragon before returning home. Dick relates that story to his experience with the girl with the Jesus fish necklace, although the comparison is kind of slippery to me. He says he tried to track down the delivery girl a month after she visited him, but the pharmacy had no idea who she was.