Songs Dylan wrote, but didn't release (until much later)

I played a John Mellencamp CD today while I was in the car--Rough Harvest--and found myself singing along to "Farewell Angelina," one of my favorite Bob Dylan songs.  Written (or, at least, copyrighted) in 1965, he apparently didn't have room for it on Bringing It All Back Home or Highway 61 Revisited (both 1965) or Blonde on Blonde (1966).  It first appears on The Bootleg Series, Vol. 1 - 3 (1991).  Joan Baez recorded a version for her 1965 album, for which it was the title (and opening) track, which was where I first heard it.  (Lots of YouTube versions are available at this time.)

It's a beautiful--but very strange--song  As with many of Dylan's songs, I'm not sure I understand it, and I'm not sure I need to.

Farewell Angelina
The bells of the crown
Are being stolen by bandits
I must follow the sound
The triangle tingles
And the trumpets play slow
Farewell Angelina
The sky is on fire
And I must go

It's not exactly clear what the relationship between Angelina and the singer is, or why he has to follow or why the sky is on fire.  But apparently he's trying to persuade her not to be angry about it:

There’s no need for anger
There’s no need for blame
There’s nothing to prove
Ev’rything’s still the same
Just a table standing empty
By the edge of the sea
Farewell Angelina
The sky is trembling
And I must leave

Then things get even stranger (although I always thought this verse is a reference to Alice in Wonderland):

The jacks and the queens
Have forsaked the courtyard
Fifty-two gypsies
Now file past the guards
In the space where the deuce
And the ace once ran wild
Farewell Angelina
The sky is folding
I’ll see you in a while

 The next two verses don't make things any clearer, either:

See the cross-eyed pirates sitting
Perched in the sun
Shooting tin cans
With a sawed-off shotgun
And the neighbors they clap
And they cheer with each blast
Farewell Angelina
The sky’s changing color
And I must leave fast 

King Kong, little elves
On the rooftops they dance
Valentino-type tangos
While the makeup man’s hands
Shut the eyes of the dead
Not to embarrass anyone
Farewell Angelina
The sky is embarrassed
And I must be gone

And then we come to the end...

The machine guns are roaring
The puppets heave rocks
The fiends nail time bombs
To the hands of the clocks
Call me any name you like
I will never deny it
Farewell Angelina
The sky is erupting
I must go where it’s quiet

So the sky is the recurring image here.  It's successively "on fire," "trembling,"  "folding," "changing color," "embarrassed," and "erupting."  It's never calm or peaceful.  I think the sky must be the singer's metaphor for the state of his relationship with Angelina...which is clearly not a soothing one.  And eventually, he tells her not just that he's leaving, but where he must go, and, implicitly, why.  I think.

(Lyrics:  http://www.bobdylan.com/us/songs/farewell-angelina)