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Google has not helped me figure this out. This is from the first or second page of the book (I'm not sure exactly since my electronic copy of the book doesn't seem to have page numbers):

I saw very little of my father during the war, and in his long absences I used to build up a more or less immaculate conception of him, which he generally – a bad but appropriate pun – shattered within the first forty-eight hours of his leave.

I'm guessing there is some kind of informal meaning to "shattered" here? Maybe it has something to do with "immaculate conception"?

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It's a double pun on immaculate conception and general. The Roman Catholic dogma of immaculate conception says that Mary is free from original sin right from the moment of her conception.

The narrator is saying that during his father's wartime absences, he would come up with an idealized image of him. This is a conception in the sense of "a complex product of abstract or reflective thinking" (sense 2c on the Merriam-Webster page). It was immaculate, i.e., spotless, because the narrator would attribute all good qualities to the picture he built up of his father in his mind.

This idealized picture would be shattered by his father's actual behavior upon his returning home for leave. His father is a brigadier, which in the British army is the lowest-ranking of the generals. Directly after the passage you quote, the narrator goes on to say:

Like all men not really up to their job, he was a stickler for externals and petty quotidian things; and in lieu of an intellect he had accumulated an armoury of capitalized key-words like Discipline and Tradition and Responsibility. If I ever dared—I seldom did—to argue with him, he would produce one of those totem words and cosh me with it, as no doubt in similar circumstances he quelled his subalterns. If one still refused to lie down and die, he lost, or loosed, his temper. His temper was like a red dog, and he always had it close to hand.

So within a couple of days after his father's return, the narrator would see him as he really was: an incompetent, unintelligent, bad-tempered man. His father would behave toward him in the same way that he, in his capacity as general, would behave toward his subordinates in the army. So he would generally shatter the immaculate conception that the narrator has built up. In this context, "generally" means "wholly" or "entirely" (from definition 1 of entry 1 on the Merriam-Webster page), but it also means in the manner of a general, referring to his father's rank.

As Tsundoku mentions in the comments, the immaculate conception is not the same as the virgin birth. Jesus's being born of a virgin (because Mary bore the child of God without sexual intercourse) is a different Catholic doctrine from the immaculate conception.

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    It may be worth adding that the doctrine of immaculate conception should not be confused with that of the virgin birth of Jesus. Some people mistakenly think that "immaculate conception" refers to the latter ... – Tsundoku Dec 22 '20 at 10:32
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    The strange thing is that, from its placement in the sentence ("he generally – a bad but appropriate pun – shattered"), it seems that the "pun" is something about "shattered" rather than "immaculate conception". Am I missing something, or did the author just put the parenthetical in an odd place? – Rand al'Thor Dec 22 '20 at 10:47
  • @Randal'Thor Actually the answer was missing something. I took a look at The Magus and realized that the father's being a brigadier, something not evident from the quote in the question, yielded a pun on generally. Fixed. – verbose Dec 22 '20 at 10:52
  • @Tsundoku as a veteran of Catholic schooling, I take that distinction for granted, but you're right, it's a potential source of confusion. I revised my answer accordingly. – verbose Dec 22 '20 at 10:53
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    Case in point: I learned just now from @Tsundoku's comment that "immaculate conception" doesn't refer to the virgin birth of Jesus :-) – Rand al'Thor Dec 22 '20 at 11:05

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