Actually, we've both got it wrong!

Shadow meets Whiskey Jack in the Badlands. Whiskey Jack is actually Wisakedjak, the crane-manitou of Algonquin mythology, similar to other Trickster-Demiurges such as Nanabozho (Ojibwa), Inktonme (Assiniboine) and the Coyote. As per my previous, he seems ultimately uninterested in Odins' quarrel with the New Gods, as it doesn't concern 'his' people.

As well as that, Shadow frequently encounters in his dreams a buffalo-headed man with fiery eyes who gives him guidance. This is a personification of the Land as worshipped by Native American/First Nation tribes. This figure is clearly concerned that Shadow do the right thing.

Apologies, I had to go back to the book for this, and do a bit of research on Whiskey Jack.

That said, I think my feeling as to what the story is about still holds.

Just BTW, I think Gaiman got the Norse Gods spot on!