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.
"It's the End of the World As We Know It (And I Feel Fine)" was inspired by a dream where Michael Stipe conjured up images of people with the initials L.B.: Lester Bangs, Leonid Breshnev, Lenny Bruce and Leonard Bernstein.