I'm trying to recall whether any previous episodes had mentioned that Magnum's middle name is Sullivan, and/or that some of his relatives are named Sullivan. I don't think so -- or it would be a bit odd that he didn't jokingly call the reporter "Cousin Kate" or something. This episode should definitely be canon, since Bellisario was one of the writers (maybe he's just really fond of the name Sullivan).
Regarding the church, I "heard" the name as "Church of the Holy Veil." Of course, "Holy Vale" sounds exactly the same. Short of getting hold of the original script, I guess it comes down to whether it's more likely that a church would be named for a valley or a scarf. I favor the latter -- the reference could be to St. Veronica (http://en.wikipedia.org/wiki/Saint_Veronica
), or to the mystical "veil" that separates life from death.