Nitrous oxide, or "laughing gas", is a common anaesthetic which is known for its euphoric properties when inhaled. This property, as when all its ability to induce hallucinations has lead to the drug being used recreationally . It is used in the song to highten the effects of Holly's baptism.
Also, the following line which mentions Holly being "born again" could be taken almost literally. If nitrous oxide is not mixed with oxygen then the user could suffer death by anoxia, (lack of oxygen), although in this case the death would just be temporary. If this is the case it puts an additional edge to the final track, such that Holly can say that she knows "how a (physical) resurrection really feels" from direct experience.
from Banging Camp