According to Nicholas Pegg's The Complete David Bowie
, this song was inspired by Bowie's half-brother, Terry Burns, who suffered with serious mental health problems. In 1985, Burns killed himself when he escaped the grounds of the mental hospital where he was staying and put his head in the way of an oncoming train.
In 1993, Bowie released the song "Jump They Say
," which deals with his feelings about Terry's suicide.