I believe this song is about being a rock star and how the stardom can hold you and thrill you and then ultimitely kill you. i.e. Jim Morrison, John Lennon, Kurt Cobain, Janis Joplin. Rock stars who died at a young age. This refers to the line, "they want you to be Jesus and go down on one knee, but they want their money back if your alive at 33." Also, the lines "headache in a suitcase" and "of course your not shy, it takes a crowd to cry" all refer to the lifestyle of a traveling exposed rock and roll star. U2 also wrote this song right after their enormous success with Achtung Baby and Zoo Tour so they were probably feeling these pressures especially Bono.
Hope this helps.
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"You gotta put the women and children first, but you've got an unquenchable thirst for New York..."