Lana Del Rey said in a Kulturnews interview that the song was about her time in New York when she joined an underground group. It was run by an extremely charismatic guru.
From her Grazia interview:
"I used to be a member of an underground sect which was reigned by a guru. He surrounded himself with young girls. He thought that he had to break people first to build them up again. At the end I quit the sect."
It is speculated that she is talking about Atlantic Group, a part of Alcoholics Anonymous, which she joined in the past. They were notorious for their cult behaviour and treatment of older men and young women. The Pacific Group (which AG is a branch of) is partly run by a man named Jim.