Found two explanations. One says the song tells a story of a man who wanders around from city to city, he meets a girl that falls in love with him. But as she had a difficult past she is unable to love herself or anyone else. He feels sorry for her but can't give her what she needs. So he just leaves the city as a loner, just the way he arrived, with nothing but his guitar on his back. The other interpretation is that he meets a girl, she falls in love with him but he can't give her what she wants. He feels sorry for her. He leaves when she has found the right one. The rest stays the same. The zebra here stands for a person that can only sleep when she feels comfortable with someone who is around her (cuz it seems zebras can't sleep when they are alone?). So when he tells her don't sleep, he tells her he is not the right one. When he tells her to sleep and goes, it is because he knows she found someone else.
