Gerard Way said during a Reddit AMA that this song is about mental illness.
The song title was inspired by a 1980s manga called Mai, The Psychic Girl. The main character of the comic is Mai Kuju, a 14-year-old Japanese girl with powerful psychic abilities. She is pursued by an organization which wants to control the world.
New Order took the title for "Blue Monday" from an illustration, which read "Goodbye Blue Monday," in the Kurt Vonnegut book Breakfast Of Champions. The image referred to the invention of the washing machine improving housewives' lives.
Two tears roll down Sinead O'Connor's face. toward the end of the video for "Nothing Compares 2 U." They were shed because she associated the song's lyrics of love and loss with her mother, who was killed in a car accident in 1985.