Lyric discussion by Zetsumei 

Cover art for Vegas lyrics by Sara Bareilles

Basically she's saying if things are bad in your life, giving up everything you DO have and running away is not going to help you, it's going to hurt you. People think that if they move to a big city everything will magically get better, but it doesn't. It is hard everywhere. And your problems will not disappear, they will always follow you wherever you go (can't escape a sky that's falling).

You should focus on working out what you need to work out where you are now, get everything in order, and THEN you can go on ahead to New York, Mexico, Vegas, or wherever you like.

My Interpretation