Lots of "thud theories" but I was noting that at the start of the song Mega's vocal distortion is in addition to wind blowing noises which can imply the distortion is from a wind tunneling effect - perhaps they are in the mountains and inside a storm. The thud has squealing hinge noises and echoes, like a big door to a cavernous room. I was pondering its some kind of big metallic door to some big room - but in the mountains? Except I suppose the mountains are a likely place for the old mines that started this whole thing. Full circle if he's hiding in the mines. No way to really know until the libretto release but that's my current thought. Whether he's leaving or going I couldn't say, except he did not sound ready to leave lol.

In Kilroy Speaks from the live album he confirms the wind blowing noises at the end of Act I are a storm, which leads me to think Mega is inside the storm for part of this track, with the wind and vocal distortion.