Lolo spends the first half of the following Boss Battle stuck in a Heroic BSoD, unable to help Klonoa. It isn't until Popka talks some sense into Lolo that she finally decides to lend a hand.
After Lunatea has been overcome by sorrow, Klonoa alongside Lolo and Popka head back to La-Lakoosha to check on the High Priestess. When they return to the High Priestess, she's depressed and tells Klonoa to save Lunatea. This is accompanied by a somberer version of her character theme and Path of Goddess Claire titled "High Priestess of Sadness" which sounds entirely lonesome and less honorable.
The theme of the Kingdom of Sorrow titled "Hyuponia - Ruin of Sadness" is fittingly gloomy, lonely, and quiet with distorted versions of songs for Door to Phantomile and Lolo's Character Theme. However, the level itself is accompanied by ruined houses and empty chairs and other references to the sadder moments that occurred in Klonoa's life.
The King of Sorrow, full stop. Everything about his situation is heartrending: being forgotten, forced to live in isolation, and taking in the entire world's pain and sadness - to the point that his eyes are permanently red from weeping. Seriously, the guy needs a hug in the worst way.
Even worse, it's likely not a coincidence that he looks very similar to the first game's Klonoa. Given the role he has and the circumstances involved, it's very plausible that he's effectively an allegorical stand-in for a tragic fate of Klonoa after being removed from the world and forgotten about, as if he never had a place with anyone or anything, and never being allowed to overcome his trauma and sadness. A Klonoa equivalent so lonely and mentally broken at this point that he forces the heroes to kill him.
The moments leading up to Lolo breaking down into Klonoa's arms is heartwrenching to watch. When she realizes he isn't from her world, she tries to keep her composure and not be sad that he's leaving. However remembering Klonoa's promise to never forget sorrow and sadness, tears start falling down her face while still smiling. She then asks him if it's okay to cry now which leads to her openly weeping loudly as she's hugging him. Lolo is then frantically shouting for him to not leave.
Lolo: (as Klonoa turns to leave) So is this... goodbye? (Klonoa silently nods) Of course... Lunatea isn't your world, is it? You have to go home, right? You have a home to go to after all, right? Klonoa: (sadly turns back) Lolo... Lolo: (happily) It's okay! I knew this was coming. I'm fine, really. I'll be fine... because I'm going to do my best. And you taught me that it's okay to cry, as long as I don't give up. (sad) So... so... (crying) so... it's okay if I cry... right? (runs to Klonoa and hugs him before crying loudly) Klonoa: (hugging back, on the verge of tears) Lolo...! Lolo:No! No no no no! I... I...! Klonoa...!
The line "We'll always be together" was first used in Door to Phantomile when Huepow promises Klonoa that he will be alright after he becomes the final blow to Nahatomb. Klonoa later yells out this line in pure anguish in fear of Huepow not surviving. Here, he repeats this line to Lolo to cheer her up after learning he's leaving Lunatea.
And the cherry on top of the sundae? A Softer and Slower Cover of the Windmill Song from the first game is played as Klonoa walks into the portal, similar to when Huepow told Klonoa about the Awful Truth.