China Blue asks Rev. Shayne: "Who are you?" He responds by saying: DON'T YOU KNOW? I'M YOU! What did he mean by this? I know his character was supposed to be insane. Was he playing mindgames with China Blue?
Well, this isn't a great script, so it's hard to tell exactly what everything in it means...but what comes to mind for me is that he identifies with China Blue because they both wear costumes and play roles (i.e., he's not a real reverend), and also he has sexual compulsions he obviously can't deal with. So he might go to the extreme and consider himself some "filthy whore" (as he considers her) because he can't get over the fact that he has strong sexual urges.
He also said that by saving her he shall save also himself, which would be logically correct if the two of them were the same person, as he considered in his deranged fantasy. It is possible that by this identity he meant, in a crazy way, that he recognized that both of them were lonely, twisted souls (although he was a little more twisted, being criminally insane), this leading him to believe, being a religious nutcase, that they share the same soul (their persons having an identity of substance - like the identity of substance within the persons of the Holy Trinity). That's why he was content with either of them dying.
I think his self righteous sexless side represent who Joanne feels she is when she's not China Blue and at the same time he sees himself in China Blue because his alter ego is a sex addict.