Their response comes just a day after Osbourne called for their work visas to be revoked.
The song is set to be officially released tomorrow.
Other topics include purple being the best color, and Frank Zappa having the best mustache of any musician.
More performances are also lined up for Jack White, Idles, and a Sex Pistols set led by Frank Carter.
The single was originally recorded during the 'Cowards' writing sessions but never made it on the album.
Jepsen is co-writing the score with producer Ethan Gruska, and Dunham will co-write the book with playwright Jessica Huang.
The son of Afrobeat royalty has teamed up with the prolific saxophonist and bandleader
The deluxe edition of the band's album 'Box for Buddy, Box for Star', is out this Friday.
