The first and most surface level take is that the universe the show takes place in actually does have some kind of supernatural element, and that one of the curses put on Asher (by Dougie or by the little girl at the beginning) came into effect.

Another is that it's a metaphor for either his fears of fatherhood (like Dougie claims) or what he said to Whitney in the previous episode - that if she ever actually doesn't want him around, like the finale is hinting at, he'll just disappear. Asher says during their dinner that, "the purpose of art is... well you have to go to extreme lengths to make your point sometimes," and then the show does just that. I think one of the big tip-offs here is that when he's up in the tree, they say they're probably going to have to tranquilize him, and then a paramedic-looking person comes up with a big red medical-looking bag reassuring him in soft tones. When she pulls out the chainsaw it was a bit of a reality-bending moment because they would never ever do something like that to get someone who's freaking out down from a tree. Perhaps the real series of events is that Asher has some kind of brain break, runs outside and climbs into the tree, and then dies in the process of them tranquilizing him and getting him down? That would also explain Dougie's sob fest at the end.

A third option I think is less likely is that we're seeing a version of a bit of TV magic the characters created in order to write Asher out of the next season of Green Queen, and as the viewer you no are no longer privy to their TV-making process and are stuck seeing something closer to what the audience of the show is going to get.

I saw someone make a point about some religious themes, but I don't know enough about how Judaism contrasts with Asher getting pulled into heaven to follow that road.