Lyric discussion by theslartibartfast 

Cover art for Blue Angel lyrics by Squirrel Nut Zippers

She's obviously singing to a dead person, who I suppose is her lover or husband or whatever. I'm thinking she probably killed him (because he doesn't know how to treat a girl), and is about to kill herself as well. This explains, for example, the sirens screaming and setting sail tonight. I think that the singer is the Blue Angel of whom the devils dream.