St. Sebastian is a famous martyr, typically depicted tied to a tree with arrows coming out of his body. He shows up in many art forms and is a popular reference in books, TV shows and movies, which is how he ended up in the song: Of Montreal frontman Kevin Barnes had been seeing his name a lot in the media he was consuming.
The song itself is about a specific person. "It's a pretty hateful song about a person in my life that was making all these posts about me on social media and spreading all this bulls--t about me," Barnes told Songfacts
. "St. Sebastian has been popping up in a couple of movies I've watched and some books that I was reading, and the idea of St. Sebastian as this martyr - a sort of saintly, angelic human that's martyred by these evil people - it seemed relevant to what I was imagining."