The funeral service for Jeff Storck's father is held at Cayuga Lake, and Jeff mentions how much his father loved it there. Rod Serling also loved Cayuga Lake and named The Twilight Zone (1959)'s production company, Cayuga Productions, after the lake.
The serial number on the gun is 1015-59. Not only is this a reference to the recurring 1015, but it is also one day before the original broadcast date of Mr. Denton on Doomsday (1959) (which aired on October 16, 1959), an episode also about a gun that seemed to have a mind of its own.
When Jeff Storck walks into the shooting range, the TV in the lobby is showing A Most Unusual Camera (1960). Like this episode, it concerned an inanimate object which was endowed with supernatural properties, in that case a camera. Also, Replay (2019), may be an homage to the classic episode.
The "Blurryman" from Blurryman (2019), who is a white male in a black suit, appears at the 24:41 mark, on the right side of the screen as Jeff Storck (Chris O'Dowd) is walking down the college hall after his visit to the gun range.
"The Blue Scorpion" is the third episode that Jordan Peele does not appear in the closing narration segment. The first episode is "Replay (2019)"; followed by the episode "Six Degrees of Freedom (2019)."