The speaker keeps waking from what seems to be a nightmare, and each time the same thing happens. The repeated line "it happened again" makes it feel like a cycle the speaker can't escape, and the subtitle "'Round and 'Round We Go" backs that up, sounding almost like a bitter, tired joke about being stuck on a carousel.
Each stanza moves from panic to loneliness. First there is the scream, which the speaker says burns "a hole into my throat," a physical, painful image. Then they reach out for a hand that isn't there, a small gesture that suggests they are looking for comfort and finding none. In the last stanza, the heart "stopped dead" at the realization of being alone, which seems to hurt more than the nightmare itself.
The mood is raw, fearful and quietly sad. The poem doesn't explain what the dream is about, which leaves the focus on the empty space beside the speaker.