Lyric discussion by TheAwesum 

Cover art for Valhalla lyrics by Blind Guardian

In the area that is today known as Germany, prior to their introduction to Christianity (like back when they were tribes that were at war with Rome) they believed in Norse mythology also.

They way I've always interpreted the song is it's about one of the last remaining priests/shamans/clergy members of the old Norse Religion, back when Christianity was sweeping through Germany. And he is mourning the decay of the Norse religion and wishing that he could have died and been welcomed into Valhalla instead of being force to live and watch his religion get trampled into obscurity.