Season Two is really chronologically after Season One and this is some kind of purgatory or Dying Dream
Season One ends with a nuke destroying the city. Season Two picks up five years prior but with Doreau already partnered with Sledge, plus the whole series gets more bizarre with Sledge becoming Robocop
, then being visited by the ghost of Humphrey Bogart
and so on. It seems likely that Sledge is dead and in some kind of purgatory or flash sideways "finding each other" place like in LOST
Sledge actually is an Ork in disguise.
He prefers all things shooty, and he can shoot Gun even if it isn't loaded.
Instead of being vaporized by the atomic bomb blast, it gave Sledge superpowers. He came to enjoy the use of his superhuman strength enough to set aside his guns in favor of beating people to a pulp. This finally got him fired from the police department, so he left for Los Angeles, and set himself up as a superhero, dedicated to the defeat of Doctor Horrible and others of his liberal ilk.