The phrase "Always alone" in the first line exhibits alliteration, and the matching initial sounds of these words provide senses of constancy (for "always") and singularity (for "alone").
The grammatical structure of the line "She doesn't know what to do for a second, but then she jumps off the edge, me holding on" illustrates the meaning in a way. Unless I'm mistaken, the phrase "me holding on" is an ablative absolute. Regardless of the precise term, it doesn't have a strong structural connection to the clause "then she jumps off the edge," and in the same way, the narrator lacks a firm grip on the horse.
The section starting with the line "Above the hills, higher than eagles were gliding" lacks the bass and drums that had been present since the song's third line. That the musical bottom has dropt out, leaving only the higher elements, mirrors the sort of airiness of being "Suspended in the sky."
"All" in the line "Exploding all around" is sung with a melisma (F# E), lending a slight sense of breadth.
After the line "We hit, and we splashed it dry," there's a cymbal crash, apparently meant to represent the splash.
