Lyric discussion by bullets&love. 

Cover art for Our Lady Of Sorrows lyrics by My Chemical Romance

Yes. They're lovers that are being held back by others. They're going to kill eachother and go to hell together. That's why the shed your yellow. Then the immortality line is like they can still be together forever when they die, only they'll be in hell. The people that try and hold them back won't be there though. Trade me for an apparition, that they'll be spirits together instead of beings. The love will go on forever. That's what it means to me.