Well, I can see where you would make parallels between the song and Grim Fandango. The most noticable parallels that can be taken from the song relate to character development.
Blatant source of parallel: "throwaway from an open grave" Hell, it even relates to the premise of the game. But in the start of GF, Manny was treated as a second-class citizen, especially in his office. He did not recieve the credit that he deserved.
The others parallels have connections to the epic feeling of the game in general.
when the road is full of nails,
garbage pails and darkened jails
and their tongues are full of heartless tales
that drain on you
I find a parallel here between Manny and his adventure in the game in general, the pain that was faced and the challenges he overcame.
However, the next few lines:
who would ever notice you
you fade into a shaded room
I find these to conflict with the character development of Manny totally. Manny doesn't fade into a shaded room, he rises to prominence. He creates the casino, first of all, and becomes a celebrity of sorts. And there's just so many people relying on him! Glottis, Mercedes, etc. He helps these people out, and truly shows the strength of his character.
However, it's been awhile since I played GF and I'm tired. So I might be wrong. I hope this opens up some discussion.