To me, this is a song about heartbreak, plain and simple. Think about the title first, "Cold Desert". There is nothing in the desert, so he is saying he is alone, and cold is a gripping thing. He is cold and alone.
He feels betrayed, "You told me you loved me, That I'd never die alone." and once again, alone and unloed, as he puts it Jesus dont' even love him.
And was it him or her who ruined this whole relationship? Apparently only he knows.