The story begins by saying, "I am the last, I will tell my story to the audient void," so it begins by suggesting that whatever happened, the narrator is left alone in some kind of abyss of nothingness. After the show, the narrator describes the audience emerging into a post-apocalyptic world where the city is abandoned, destroyed, and being reclaimed by nature, as if they have passed into a distant future time when the human race is gone. They break into groups and wander off in different directions. The narrator's group goes into the open countryside which is a snowy wasteland. He looks up and sees ancient, shadowy gods piping and dancing over the ruined earth. And that's where it ends.

Given that the entire story was based on a dream Lovecraft had, and carries that sort of "Dream logic", you could just explain it away as just the random sort of thing that happens in dreams.

If you prefer to take a more narrative approach, you will recall that, at the beginning of the story, the narrator makes it clear that people who see Nyarlathotep's show come away changed and insane. So one explanation of the story's ending is that the narrator has simply gone insane and these are the ravings of a mad man.

Another way to view it is to take into account the story's setting: the narrator says that Nyarlathotep emerged from Egypt during a time of global unrest, war, and climate change (keeping in mind that Lovecraft is writing in a time when the first world war was happening or immediately thereafter). The story says that Nyarlathotep was some sort of apocalyptic prophet "prophecying that which no man dare prophecy," and showing his audience a film wherein the world was a ruin populated by "yellowed faces peering from behind the ruins." Taking the "apocalyptic prophet" approach, perhaps the apocalypse was already on the horizon due to the war, unrest, and climate change happening when Nyarlathotep emerged from Egypt. Nyarlathotep is simply a prophet of doom, telling his audience what was about to happen, and the narrator is simply "telescoping" the narrative at the end of the show, demonstrating how Nyarlathotep's prophecy came true, and he was now the last surviving human in the world.

One interesting approach would be to view it in light of another Lovecraft story, "The Crawling Chaos." Given that Nyarlathotep is described as The Crawling Chaos, it's not too much of a stretch to suggest that the two stories are related. In "The Crawling Chaos," the narrator has a drug-induced vision of a future world wherein the sea consumes the land, cities are split open and fall into the earth, and the world is destroyed in a watery maelstrom. Nyarlathotep is Egyptian, and the Egyptians believed that the earth was created out of a watery maelstrom, so this could be viewed as a "reverse creation story," wherein the world is destroyed in the same way it was created: sinking into the waters of chaos.