They're playing a pen and paper campaign, more or less. Justice is angry at the Sea Witch for fucking with Fortune Teller and is amused that Fortune Teller actually got beaten by the Sea Witch. Justice seems to be very particular about how a story should play out (you can read one of his scripts when they're all together at the merchant's house) but both Sea Witch and Fortune Teller think his stories are boring and need 'fixing'.
The Sea Witch is afraid of Justice because he's the most powerful of the three, she's in a weakened state, she knows she fucked his story up and he is completely unhinged at times. If you call him evil he will just straight up try to murder you, for instance. But they're not enemies, they're friends. Sort of. So if you kill one of the other gods it's more likely he's angry his story wasn't fixed and thus chooses the nuclear option - like an angry kid flipping over the table if a game isn't going his way. It's questionable if you can really kill one of the gods, after all. You can, however, at least take them out of the picture for a time. Probably enough to fuck up Justice's story even more.