Danger Days: True Lives Of The Fabulous Killjoys's concept is based around the lives of the "Fabulous Killjoys," in the setting of California in the year 2019. The band's alter-egos are the four Killjoys, who are a group of outlaws that are fighting against the evil corporation Better Living Industries (BL/ind.) and its leader Korse. This track finds the narrator Radio station WKIL and pirate DJ Dr. Death Defying reporting that Jet Star" (Ray Toro), and "Kobra Kid" (Mikey Way), have been killed.
In an interview with Coup De Main, Mikey Way explained the inspiration behind Kobra's "Good Luck" helmet: "That's a nod to an old Nintendo game called Star Fox. When you hit the 'Start' button there's this dog that shows up like a captain and would say 'Good Luck' and it was just something that stuck with us for a long time. The game came out when we were teenagers and we always thought it was really interesting how the animals talked in that game. It also just means 'good luck' as well, but it's also a nod to Nintendo and Star Fox."