They have taken Cleopatra
Cleopatra is a very well-known and important historical figure. She was a powerful Egyptian pharaoh (in fact the last Egyptian pharaoh — a fact that is important in the context of this song), and led a life that has fascinated people throughout the ages.
She is often used as a symbol of women’s (often sexual) power, having reportedly mated and formed alliances with some of the most powerful men of that time.
This could also be used in a metaphorical sense; Cleopatra being the woman in the relationship with Frank (his Queen) who has left or cheated on him with another person (the thief).
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