The title of this song references both the famous 18th century Russian Tsarina and Divine Comedy frontman Neil Hannon's girlfriend, Irish musician Cathy Davey. Hannon told The Sun: "Feel free to read it as a rather inaccurate account of the life and times of the famous Russian's Tsarina or a silly love song. It can be both. It's your choice."

At the end of the song, Hannon sings that he'd like to "bake her a cake." He admitted to the BBC: "I'm not a cake person. I have a lot of problems with cake. I'd bake her a cake, because she likes cake. I quite like carrot cake, I suppose. That's quite nice, even though it shouldn't be."