To me, it sounds like Jenny is suicidal.
"She's always falling" could be some sort of persistent mental problem. "...so she's falling alone" could be the fact other people can't help her at the point she is. "Take it all and throw it all away" is a no-brainer. Facing the gun is death imagery, if you could call it that. In the next verse, the hearse (https://www.merriam-webster.com/dictionary/hearse) mentioned also seems to be death related in the majority of its uses. She could be calling someone in a desperate attempt for help, but to no avail. She's "feeling nothing". It's time to "finish the show". The color, the joy and ease of living is gone from her life. There is only sorrow left, she has no incentive to keep going. Love is hard to keep, she struggles with personal relationships (possibly as a result of her condition), as is evident by the fact she seems to be abandoned. Facing the deep, facing death, is what she is compelled to do.
To me, it sounds like Jenny is suicidal. "She's always falling" could be some sort of persistent mental problem. "...so she's falling alone" could be the fact other people can't help her at the point she is. "Take it all and throw it all away" is a no-brainer. Facing the gun is death imagery, if you could call it that. In the next verse, the hearse (https://www.merriam-webster.com/dictionary/hearse) mentioned also seems to be death related in the majority of its uses. She could be calling someone in a desperate attempt for help, but to no avail. She's "feeling nothing". It's time to "finish the show". The color, the joy and ease of living is gone from her life. There is only sorrow left, she has no incentive to keep going. Love is hard to keep, she struggles with personal relationships (possibly as a result of her condition), as is evident by the fact she seems to be abandoned. Facing the deep, facing death, is what she is compelled to do.
[Edit: failed attempt at using html tags]