What does "And the band played on" by Dax mean?

Here are it’s lyrics:

I had waited too long
To hear that lonely night
I had mother of god
And my head filled with light

And the band played on
Driving me to distraction
As the world came crashing down around us

Kept on playing that song
The one you know so well
Called “everything’s gonna be alright”
Echoed in the lonely night

I was all by myself
No one to ignore
Lived in back of the cell
And I was lonely time, yeah

And the band played on
Driving me to distraction
As the world came crashing down around us

Kept on playing that song
The one you know so well
Called “everything’s gonna be alright”
Echoed in the lonely night

And the band played on
And the band played on

Please help me analyze them! The song ends with an abrupt nuclear bomb, without letting the final note ring (Which bugs me intensely). I love this song, but I just don’t understand it :)