The poem exists within the mind of the speaker, who is grappling with some pretty heavy questions. His headspace seems filled with "what-if" scenarios and fears, all based around the idea of sin and redemption within the Christian tradition. It's safe to say the speaker exists in a spiritual world.
As a metaphysical poet, Donne set his poems within this spiritual landscape frequently, and they often address God directly. The Metaphysical Poets were interested in the world beyond the physical, so addressing their works to the beings in those spiritual realms was a normal action. But there are no lightning bolts from the sky or burning bushes in this poem. In "A Hymn to God the Father" we don't hear the voice of God answering any of the speaker's questions, but he is still able to come up with the answer himself, which hints that perhaps the answers were there in his mind all along.