According to the Werner Herzog, 2,400 cans of decaf coffee had to be used to make the water appear to be river water in the jail scene. They first attempted to use a paint, but it proved to be toxic, then the production team used regular coffee, but the actor absorbed it through his skin.
After the shoot out with Big Fate's crew, Dave Jacobs's soul gets shot again. When he falls down from dancing his arm is underneath and behind him, but in the next shot his arm is tucked underneath him out of sight.
When Lieutenant McDonagh is driving with the witness to Biloxi he crosses the Mississippi River over the GNO bridge going the wrong direction. The view of the twin smoke stacks (also visible in Get Shorty) indicate he is heading to the west bank of the river. The only non-circuitous route back to the east bank would be via ferry routes that were not restored at that time and run through St Bernard Parish.