"There's no place, there's no tomorrow, there's no sense communicating": Realizing they've been "living" in an illusion, becoming aware of their surroundings they realize they no longer physically exist. They have no more future on Earth, no tomorrows left. They pass through everything and no one can hear them.
"Like the wind, you're going somewhere, let a smile be your companion.": The ghost getting ready to move on into the afterlife, the lyrics being either representative of their own thoughts or a benevolent voice coaxing them to. The place where the "sun never shines" may also be in reference to the afterlife. It is a place where the sun indeed doesn't shine. Sunless Lands if you will. Better to do this than endlessly looping through warped, dreamlike memories.
