Lyssi looks through his memory banks for any other potential sources of Shadows in the area...

"Could you be referring to the 'TV World' that is mentioned on the board of the 'Velvet Room'? According to what is stated there, those with Personas can entire an entirely different world where Shadows roam while in Inaba."

And as for the question of whether he believes in God... he actually tilts his head slightly.

"...Am I supposed to believe in a higher power? I... am do not know. How do humans decide what power to believe in? There are multiples, each contradicting with the others."

He actually seems a little confused.