The first part of the album title, "All Days Are Nights," comes from the final couplet of William Shakespeare's "Sonnet 43" ("All days are nights to see till I see thee…"). The reference to "Lulu", which appears in the second part of the album's title, refers to Louise Brooks's character in the silent movie classic Pandora's Box. Wainwright explained to Spinner UK: "I feel sympathetic towards her, too. I love her, and I want to protect her and envelop her and be her in the end, but nonetheless, I'm not gorgeously damned. I unfortunately have a survival mechanism that won't quit. I think there was always a secret side of me that wanted to be this nihilistic victim/romantic shooting star, and I really went for it for a while, but my shooting star would always hit the ceiling and end up in bed. [laughs] I just didn't have it in me to be totally self-destructive. I'm not even saying that Lulu's self-destructive - I think there are people where the whole world aspires to bring them down or to bring down people around them; there are modern-day Lulus. One of them I'm quite obsessed with; I know her quite well. I think Chloe Sevigny is our modern-day Lulu - she's the eye of the storm, or at least she was for a while - that kind of character."