So, I'm linking
Sirens again because I like overanalyzing songs and, while this certainly isn't the deepest of tunes, it has some clever notes in it.
Personally, I think it's a story about confronting one's own mortality. We hear the saga of the captain and his wrecked ship as a metaphor for the storyteller's coming to the realization of just how much is lost when someone dies... Their future, represented by a sturdy ship and all the exciting new places it can sail to and the new adventures it can embark upon or plans that it can realize. Their present, represented by the captain as a sense of self, the person an individual has come to be over the course of a lifetime. Even their past, the memories and experiences someone has accumulated throughout the years, their unique perspective of those events will simply wash away, like so many scattered photographs.
And this loss can come quite suddenly. A ship lured onto the rocks by the Sirens' song, or the sirens of an ambulance rushing to the scene of an accident. A single foul turn of the wind, and everything you've planned for, everything you are, and everything you've been... Ceases to be.
Considering the eponymous album was released shortly after Deb Talan finished treatment for breast cancer, which she was diagnosed with after the birth of their third child together, the idea of a sudden awakening to one's own incredibly finite nature seems rather plausible.