Tony Hillerman draws a vivid portrait of Zuni religion and culture in the 1970s. In particular, he emphasizes the differences between Navajo and Zuni beliefs (perhaps in an effort to combat stereotypes and perceptions that lump all Native American religions and cultures together), and further contrasts them with Christianity and anthropological perspectives (respecting all, but prioritizing none).
The title itself is an example of the difference between Zuni and Navajo beliefs; Navajo boy George seeks the "dance hall" that his Zuni friend tells him about, but doesn't fully understand the concept. The Zuni view the dance hall as the afterlife, a place where they may dance with their ancestors, free from work and strife. (Navajo beliefs, by contrast, seem to view death as a dangerous force, an antagonist whose appearance is an occasion for sadness.) George, however, has no understanding of heaven (there is no concept of heaven in the Navajo religion), and so misunderstands, believing that he is looking for a physical place, a dance hall where he may learn more about the Zuni religion he desperately wants to be a part of.
We also learn about how closely religion is intertwined with daily life for Zuni like Ernesto. Ernesto's role in the festival is connected to his homework and his running. We learn about the festival itself, where Ernesto will play Shulawitsi the Fire God, and we also learn about the kachina, the supernatural beings who Ernesto thinks foreshadow his death (as he is not one of the initiated and so should not be able to see them).
At Ernesto's funeral, we witness Zuni traditions surrounding death and the way his family's home is converted into a death hogan.
We also learn about Zuni concepts of justice (at least according to Hillerman) when the Zuni ostensibly take revenge on the killer who interrupts their ceremony.