Iggy explained the gestation of ‘American Valhalla’ in the Song Exploder Podcast:

Josh sent me a shitty demo that began with the steel drum and vibraphone motif…

[Josh] sent me a text afterwards positing that Valhalla was the most valid and superior paradise for warriors, compared to the ones from other cultures, because you had to do something very brave to get in there.

I texted him back saying, this raises the question – is there an American Valhalla? Where is it? What is it?

After that exchange I spent a day singing in my car, sitting in the car port, singing to it and coming up with words.