Stars Theory

Many of the lyrics reference stars, or the sky, or particularly looking up to the sky. What the links mean is more difficult, and where they fit into the story is anyone's guess... Currently, it seems as though there could be a link to some sort of spaceship or hypergalactic mech, or perhaps an interplanetary species.

Lyrics

Euphemia

As I looked into the burning sky

A cloud of ash that pierced the night

Tokyo House Party

Rising through the clouds into light

That's from the stars; now you fall

Shi No Barado 

Look into the skies

The Strays

I’m numb from the distance so stub out the stars on my wrist

Stub out the stars on my wrist 

Do you remember when the stars were much higher?

You would try to count them all but you grew tired

Dream & Realiy

Your smile is brighter than the lights in the skies

Heaven Piercing Giga Drill

All the lights in the sky are stars!

Bōsōzoku Symphonic

 Ryōkan

and off into the empty sky

All The Lights In The Sky

All the lights in the sky,

Are falling to the ground.

Black Hole Giga Drill

All the lights in the sky

All the lights in the sky

Echodeath 

And she looked up and she felt all of the anger and fury that had guided her in the sun

Chasing the Guillotine

Take one more look above, you must look up - possibly related?

Fear of Cancer

Well the skies collapsed as the gas diffused

Marionette

Claiming you alone had caught the skyline.

Ideas

Could there be something that has fallen from the sky? Or could there be something in the sky that is noteworthy.

This could be a some sort of satellite that governs the air.

The "stars" could be meteors, as many lyrics make it sound as if the stars are falling from the sky.