Lyric discussion by Eccentricity 

Cover art for Scotch Grove lyrics by Mountain Goats, The

Bluebeard is a folktale written (though I'm not sure if it originates here) by the 17th century author Charles Perrault. Bluebeard is a filthy and feared man who a young woman is forced to marry. When he leaves the country, she leaves his keys and tells her not to open one room. When she does, she discovers his many former wives hanging from hooks on the walls in a room full of blood. She is unable to wash the blood off, and her disobedience is discovered. She would be killed by him, but for the intervention of her brothers and instead inherits his fortune.

The interpretation I imagine here is a very, very angry person. Being probed and tested for by a significant other attempting to infuriate him, and afraid of his own anger, that he might snap.