On the face of it this piece of jazz-folk appears to be about a nightmare where the dreamer is being interrogated before being shot. However, Costello discloses on the lyric sheet that it is set on the "London Underground, 22nd of July, 2005," which implies the song is about Jean Charles de Menezes.
Jean Charles de Menezes was a Brazilian man shot and killed at Stockwell tube station on the London Underground by the London Metropolitan police, after he was misidentified as one of the fugitives involved in the previous day's failed bombing attempts. The tragic event happened on July 22, 2005.
To the younger crowd, "A Little Less Conversation" is one of the most popular Elvis Presley songs. Peaking at #50 when it was released in 1968, it got new life in the '00s when it was used in the movies Lilo And Stitch and Ocean's Eleven.