Nobody feels any pain tonight because they know she is okay…it‘s not "raining" on her. She's not experiencing pain because she has new clothes, ribbons, bows and curls (material things), yet her problems are still there, I. E., although life is seemingly good she is suffering from pain and nobody cares.
The second verse is reminding us that she experiences life…"Takes" like a woman, yet she hurts like a little girl (feelings are genuine).
Queen Mary is her friend. The baby she refers to is the Queen herself. The Queen experiences the same as her ordinary friend, and she aches with her problems, pills, and pearls, just as she does.
It was raining there means it was getting worse, dying of thirst means she sought understanding or treatment. Trusting someone long term hurts, but the pain of the reality of it all is she can't stay in the relationship because she hurts like a little girl; which for a woman is easier to bare, but as a little girl the hurt is emotionally crippling.
She admits it's time to end this relationship and asks when they meet again and are introduced as friends she asks that he not let on that she was starving for his affection, and it was his world meaning he had full control of the situation, yet chose to hurt her so terribly.