‘Lama sabachthani’ were Jesus Christ’s alleged last words, as he sacrificed himself on the cross, in the biblical story of his crucification.
It roughly translates to ‘Why have you forsaken me,’ and in context, was directed towards god, in a begging for salvation.
Jay uses this as a metaphor, asking both why god has not helped him from this depression, and to compare his suffering to a suffering of biblical proportions. .
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