The initial concept was to film them projecting through space using Green Screen "Technology". But the performance came out so well, so raw and the visuals behind were so distracting, that it would be better just to put it out as is. I am sure at some later date after the episode has dropped "UFO [Space]" will get thrown up on the channel as well.
In the meantime enjoy this "Appetizer" while we finish working on the main course. You can buy this song UFO as well as the rest of the Album it appears on right here.