I asked Mr Gaiman on Twitter to respond, and he did, as well as another person:
Aliza "I think and I vote." (@alizatw):
To summarize: it's reported but not authoritatively confirmed that
@neilhimself and @terryandrob did a radio interview with someone who
thought they were religious zealots and #GoodOmens was talking about
the real Armageddon.
I haven't found a transcript or recording of the interview itself, but I did find a transcript of a different interview where the two spoke about this interview:
Neil Gaiman: "The first radio interview we did in New York, the interviewer was asking us 'Who is Agnes Nutter? What is her history? Is Armageddon happening?" and so on and so forth. ...