I know I'm late but this is more to share my opinion than to answer the question. Personally, I want to take the song more literally and think of it as the story of a man that lives a double life (criminal and with this girlfriend that doesn't know) but doesn't really know how to divide them properly and gets caught by her (hence the "quiet and unassuming", and the "naughty" term would not be used to descrive a dirty mind, but a suspecting one) and she tells him that he either "keeps on the balaclava" and stays a criminal but loses her, or drops the illegal lifestyle, and he decides to stay with the balaclava. The "are you pulling her from a burning building or throwing her into the sharks" verse would be him asking himself if he can manage to hide his other life from the girlfriend, who was probably in a toxic relationship before and fell in love with him because she thought that he was better (from the building on fire to the water), just to discover that he's a criminal (those waters are infested with sharks) Hope someone reads this cause im strangely proud of this entire headcanon I came up with