A try

[Kerberos]

World of Myths
Visions beyond Darkness
Breath through your vape, exhale the smoke

Swallow you whole into volcanic dust - Ischia is a volcanic island
Devour Inarime in the old prophets eyes - “Virgil poetically referred to it [Ischia] as Inarime” - Ischia wikipedia page
Lands of myth and legends full of prey to hunt - Kerberos is from Greek mythology, the 3-headed dog guarding the underworld
Where is your divine protector?
Who will deliver your liberation? - The goddess Kali is the divine protector and bestower of moksha, or liberation

Fall upon debris, trinkets, auto parts*
Escape the mercenaries and rangers
There’s nothing to keep your warm, this is no thai house in New Delhi - Thai House by Kylin is a restaurant in New Delhi
No prayers or dances to Shiva to keep your safe - Shiva is Kali’s consort (Hindu mythology)

2 horses from 1 land
Forgot, captive for 1 year =)

Blocking Kylin and Kali from Kerberos of Ischia.
*There’s an update in for Reilly stepping down, but if I need a clue for him too, O’Reilly is an auto parts chain.