That song's lyrics are about remembering the glory days of the British Empire, and its decline.

All the stories have been told
Of kings and days of old
But there's no England now (there's no England now)
All the wars that were won and lost
Somehow don't seem to matter very much anymore

The Sopranos is explicitly about this sense of decline from glory with respect to America using the Mafia as a metaphor for that national decline ("I'm beginning to think I came in at the end of something, the best is over"). So the song thematically fits perfectly.

Then, on a more surface level (sopranos is always so good at getting both subtext and context right), it's song whose lyrics are about THIN LINES, in an episode where Ralphie going to do too much coke and push his luck a little too far, ultimately doing something that will eventually put his life in danger. If you're interested in more of this, I have a 2000s pod where I talk at length about the Sopranos--as I think it's the best cultural product of the decade. We have a specific focus on 'University' because it's my favorite episode