The first stanza seems to imply these people are escaping from a place which appears ruled by a dictator or someone who has kept these peole from seeing what the workd has to offer.
The sky is chainging may be some type of governement upheaval. The narrator cries "don't you turn around, Go! Go!"
While under control, they didn't know what the outside world had to offer, but once the world is experienced, "our lonliness and pain" could not be more evident.
They're able to see beyond the control they've been under. "Somewhere behind the clouds I can see the morning break."
It may be a group pushing toward revolution. "Leave it all behind you now, The final wall is breaking down, We are all it's all about, Nothing can stop us now"
Once they've tasted freedom they don't want to go back. "Don't you tuen around."