The speaker is mourning someone who has slipped away, and the title gives the loss a twist. Scheherazade is the storyteller of the *Thousand and One Nights*, who survives by spinning tales night after night. Here, though, even a thousand nights and one aren't enough to turn the beloved from a dream into "breathing flesh." Stories, the poem suggests, can't buy a real person, and each one is "weighed against a kiss."
As the loved one leaves, the speaker desperately tries to hold on to the physical details: the sound of a whispered voice, the warmth of skin. Those senses fail one by one. Even with all their strength, the speaker can't fix her image in memory. It "bleeds and pales against the sky," and the last line, "As though you never were," lands with a quiet, bleak finality.
The mood is sad, hushed and helpless. Short lines and a sudden drop into single-line stanzas make the fading feel real, as if the poem itself is running out of words.