Death is the "he" in this poem, and the speaker is someone in a struggle they can't win. Each stanza shows Death more clearly. In the first, the speaker's tears become diamonds and their wounds become rubies, so suffering is turned into treasure that Death greedily collects. He wants more, and the "door" he leads the speaker to suggests the way toward dying.
In the second stanza, the speaker begs for refuge and help, but Death laughs and doesn't listen. There's a cruel, mocking edge here, and the speaker's helplessness is plain.
The last stanza is quieter. Darkness closes over the speaker's sight, and the pain ends, though only because Death has "eternally won." The mood is bleak and resigned, with a strange mix of beauty and dread. The jewel imagery makes sorrow look precious, while the steady rhyme and repeated "When" openings give the poem a slow, inevitable feel, as if the ending was always coming. The title, "A Fight Never Won," says it outright.