Thank you tkulk and everyone else. Adamah - PhD :-D
I think that the Neuro-AI route sounds awesome. I have been considering that. I do have very strong quant skills, so I am not worried in that realm. As for the self taught stuff, there is a ton of coursework online, such as Stanford Engineering Everywhere (SEE) that provides the full course material including lectures, assignments, tests, and keys. By the time I apply I will have "taken" the full courses in Data Structures, Algorithms, Discrete Math, and a couple more, but I just will not have the actual credit.
AND, by the time I apply I will have been doing neuro research for 4+ years of mostly full time work. The department I get my PhD in does not really matter to me, as long as I am getting the training that I need to excel in my research field. I am pretty sure that is a ubiquitous byproduct of any top-tier research program.