I had a hard time coming up with a word list here, so if I missed anything and you want an explanation, just comment and I'll answer and edit it into the list!
Iggy's setting is the Warhammer 40k universe, but with a lot of stuff that's only headcanon in the group I play with (we have a hard time taking things seriously so it gets kind of silly sometimes).
The WH40k Wiki and
Lexicanum (if you don't mind your eyes - they have a terrible color scheme) are good sources of actual background on the canon, but for this list I tried to just think of things that are different in our setting, and a couple of basic terms.
Acolyte: The entry-level position in the Inquisition. Acolytes are part of an Inquisitor's retinue or cadre, and their job is to follow the Inquisitor around and do what he says. Obviously Iggy is one. Somewhat better than being in the Guard if you're not big on dying, because it ups your survival chances from about 2% to maybe 15%!
Cadia: Canada In Space Where There Is Only War, Iggy's home planet. Main exports are Imperial Guardsmen, spacemaple syrup, and fine home-grown ses.
The Emperor: The God-Emperor of Mankind, aka He-Upon-The-Throne, etc, and the basis of the Imperial religion in addition to being the figurehead of the Imperium itself. He's pretty much a zombie hooked up to psychic life support back on Holy Terra but you aren't allowed to say that because it's heretical. "Emp's tits" and "throne" are Emperor-based cussing.
Flashlight: Slang term for the standard-issue Imperial Guard lasrifle (the las is short for laser, it's pretty self-explanatory).
Heresy: Pretty much everything is heretical, it's just a matter of whether you've pissed someone off enough for them to use it as an excuse to shoot you.
The Inquisition: They find heresy and then they kill it. CSI: Outer Space, or maybe Space FBI?
Kasr: Huge, heavily-defended fortresses in the middle of "downtown" areas in Cadian cities. Kasr Derth is the fortress of the capital city.
Machine spirits: Why mechanical things work, which makes it perfectly logical to talk to your car or whatever when it isn't working. The machine spirit can hear you and talking to it might make it work better!
The Primer: A little blue book full of "helpful" "advice" and rules for Guardsmen. Anyone who's managed to not die for more than a couple of months is aware that it's full of stupid things and lies, but saying that is heretical.
Psyker: A guy with psychic powers. They get them from their brains being connected to the Warp, which is the home of all things Chaos, and so every once in a while their heads will explode and daemons will come out and start killing everyone. It's pretty nasty. Iggy doesn't know the name of the one in his retinue and doesn't have a nickname for him because he just avoids talking to him. Doesn't want to be around when his head explodes and daemons come out and start killing people, eh?
Ses: Space weed. Actually not heretical, except on a few planets where it's probably illegal, and of course if your Inquisitor decides he doesn't want you smoking up he can declare it heretical and you're not allowed to argue with him, but for the most part it's okay.
Shipsy: Probably a slur the way "Pikey" is a slur, and means more or less the same thing, only they live as stowaways on ships. Stig is one. Speaking of whom:
Stig: A ginger assassin who is one of Iggy's fellow acolytes and the bane of his existence. Steals his stuff, smokes his ses, and is impossible to understand because he talks like Brad Pitt playing that Pikey character in "Snatch." Iggy only kinda knows his name, and usually just calls him "the shipsy."
Techpriest: Crazy tech guys who wear robes and are probably made out of robot underneath the robe. Iggy doesn't know the name of the one in his retinue (are you seeing a pattern here?), and usually just calls him Cogmouth or Cogs.
Tronno: Iggy's hometown, a sprawling suburban zone of little brick single-families clustered on blocks made of zigzagged streets. Other Cadian cities include Vouver, Pegwin, Haffax, and Calgar.
Whiteshields: The youth military group Cadians are conscripted into at age 14. (We sometimes call it the Hitler Youth at the table, although unlike the Hitler Youth, Whiteshields actually see active front-line service and are basically Cadia's planetary defense force.) They sell pretty delicious cookies as a fundraiser to help pay for their body armor, the Thin Mints and the Cinnamon Seal-of-the-Emperors being the most popular.
Xenos: Aliens. We're kind of really racist against aliens here. There's a lot of types of aliens that you can read about on the wikis. They're all heretical.
Regarding names: Warhammer is really fond of using puns and references in their canonical names whenever possible - hence Canadian -> Cadian and such (believe me, you have not seen the half of it. There's a Space Marine named Ferrus Manus because he has iron hands and belongs to the Iron Hands chapter and they get even more obnoxious than that). That's why all the Cadian placenames I've made up are just Canadian placenames with letters taken out or switched around. Iggy's name is a bit of Punhammer as well - Imperial Guard gets shortened to I.G., which leads to referring to them as I.G. Joes (G.I. Joe, get it? Get it?), and so of course Iggy's last name is pronounced Joe and that's his joke. The Ignace Garren part is just backfill - Ignace is one of the suggested names on the list in the Dark Heresy rulebook, and Garren sounds conceivably nameish and is a sideways reference to the French word for war, guerre (pronounced gare).