"....something like that. More of a spokesperson for God, really. A...high priest."

Arthur's hoping to use language that will be easily understood. Also he's only partially clear on what the Pope does, but Catholics thought he was just the best. He's basically the high priest of the Catholic church.

"Huh, I suppose. It just feels bloody strange. I'm...well I'm a bureaucratic cog from the tiniest nation in the world. I really shouldn't be revered."

He's nobody, from nowhere. Possibly quite literally by now, Wellington didn't have long. He isn't some fantastic magical man or otherworldly being. Well, technically he's an otherworldly being, but a very normal human one. Not like Zagreus, who is clearly someone powerful and important. He can tell that just by looking at him.