The 25-year-old singer, an avid gay rights campaigner, was confronted by a placard waving protester outside the venue on her Monster Ball tour.
The campaigner was waving a placard declaring, `Trust in Christ or end in hell`.
In the footage of her latest Gagavision Internet show posted on YouTube, the `Born This Way` hitmaker is shown winding down her car window to talk to the unnamed protester, who told her, "Your pervert ways don`t quite equate to what God is all about, you know, the homo stuff."
"We really believe in God at my show. Don`t you think it`s hurtful (your message). I went to Catholic school for 13 years," said Gaga.
Later the popstar elaborated the incident and said, "What I`m trying to understand is, there`s 3,000 people standing in my line, and nobody standing in your line. Who`s going to hell?
"I think what`s mostly confusing is why he printed up these things, it says `Get out of hell free card`, if it were so easy to get out of hell why don`t we just print up a bunch of these? It just makes me sad my fans have to see that," she said.