Lyric discussion by rotcorp1 

Granted, this is just my take, but I think it's a good one.

The blue caravan, is Vienna's word vehicle for a sad, blue, emotional state the man was real, however her belief the he would actually stick around was a "beautiful fiction" something that she concocted to "keep out the cold" or the reality that he wasn't what she wanted him to be. Her "True love was a man that never existed at all" the man she loved wasn't the man that existed. She loved a fantasy version of him.

So, that's my take, what do you guys say.

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