Joseph Danger is a Loa reflecting either Papa Legba, or Papa Loko. Either one, he would be their Petro form. There is also a strong possibility that he is Loa from Louisiana Voodoo.
Papa Loko is a Rada loa syncretised with Catholic Saint Joseph and is strict with tradition and justice, making Joseph Danger his aggressive Petro form. Some have identified Joseph as a Petro form of Papa Legba, who is more over known as Kalfu/Mait' Carrefour.
It is more likely Joseph Danger is Papa Loko's Petro Loa form, hence his name being Joseph in relation to St. Joseph.
References
Joseph Danger Wikipedia(Text) CC BY-SA