Jeff says "Go to Sleep" because he wants humans to escape this cruel world and live in their dreams, a peaceful place with no harm.

Jane says the opposite as a message for people to "open their eyes" and seek the truth in life which Jane believes is "kindness and hard work will get you no where; everywhere you go, a monster is lurking."

Nina adds "my prince" because she believes that one day, she will get her "true love" (who she thinks is Jeff).