This song was written from the point of view of Penelope, the wife of Odysseus. In the Iliad and the Odyssey, Odysseus goes to war and is shipwrecked and stranded before finally arriving home 20 years later. His wife, Penelope, never doubts that he is alive and waits for him faithfully.
This song is made more touching by the fact that Loreena Mckennitt lost her fiance in a boating accident in 1998. It affected her deeply and she spent several years away from music.
I'd have to imagine that the lyrics speak to her loss as much as the story of Penelope.