Lyric discussion by infinityontrial 

Cover art for The Curse of Millhaven lyrics by Nick Cave and the Bad Seeds

I think the underlying message behind the "we all got to die" is Cave implying that, apart from being a full-blown psycho, the reason Loretta is doing all the killings is because she misinterpreted what her mother meant when she kept saying that. Like, she meant it in a "we will all die in the end, can't be prevented" way, Loretta took it as "we all HAVE to die".

My Interpretation