It must be assumed that Buffo, in his drunken state, is mistaking Cavalry for Calvary; even if not, the similarity of the two words points to Buffo's role as the clown's all-too-human god, sacrificing his life for the sake of laughter. His second statement similarly reflects Christ's crucifixion, during which his side was split open by a Roman spear.
Calvary is Golgotha, 'the place of the skull', the site of Jesus' crucifixion in the Christian faith. Not unique to Jesus' death, it was a regular site of public execution; Buffo refers, earlier in the novel, to the long line of clowns who have succumbed to the pressure of providing endless laughter.
In the 300 years following Jesus' crucifixion, and before Christianity reclaimed the site as a place of remembrance, a temple to Aphrodite was built upon the hill at Calvary. Nights at the Circus opens by identifying Fevvers as the Cockney Venus, Aphrodite's Roman equivalent; perhaps Buffo's downfall leaves the ring open for Fevvers to rise to even greater heights as the new goddess of the circus.
The metaphor is extended in the next paragraph, as Buffo is described as looking like someone risen from the grave, his disciples eagerly welcoming him back as a drunken, grotesque parody of a god.