The connection is that Dylan's song ("Highway 61 Revisited") and "that Bible story" (Abraham sacrificing Isaac) both point to the ethical idea that doing the right thing means doing whatever it is that is divinely commanded.
Explanation/context:
The origins of "Divine Command Theory" stem back to a dialogue written by Plato, which has the philosopher Socrates engaged in discussion with Euthyphro about the meaning of piety or goodness. Socrates was being accused of impiety in Athenian court. Impiety to the Athenians meant conduct that was displeasing to the gods. At that same time, Euthyphro was at court in Athens to prosecute his own father for having killed a servant. Socrates asked the kinds of questions he normally did, pressing Euthyphro how he knew that prosecuting his own father was a good thing. Euthyphro said punishing wrongdoers for wrongdoing was the pious thing to do, no matter who the wrongdoers are. Socrates then asked Euthyphro to how we know what "piety" is -- and Euthyphro said it was doing that which is dear to the gods. That's the "divine command" theory in a nutshell. Bear in mind, as the dialogue between Socrates and Euthyphro continued, there was much more nuanced thought about how well that definition works. Socrates asked, for instance, "whether the pious or holy is beloved by the gods because it is holy, or holy because it is beloved of the gods." That became a difficult conundrum for their consideration in the dialogue.
The Abraham story in the Bible follows the "divine command theory" idea. When God commanded Abraham to sacrifice his only son Isaac, the fact that God commanded it would make it right, according to divine command theory -- even though the act itself seemed horribly wrong.
Bob Dylan played with that idea in the lyrics to his song, "Highway 61 Revisited," from the album Highway 61 Revisited (1965) ...
Oh, God said to Abraham, "Kill me a son"
Abe said, "Man, you must be puttin' me on"
God said, "No" Abe say, "What?"
God say, "You can do what you want, Abe, but
The next time you see me comin', you better run"
Well, Abe said, "Where d'you want this killin' done?"
God said, "Out on Highway 61"
