The impression I got was it's about a guy and the changes in his life as he moves from a young adult to an older adult. In the US we have a way of identifying ourselves with our "Neighborhood" and I took it as a guy just moving through life and the consequences. So "Welcome to my Neighborhood" was a way of expressing his travels. Maybe I'm not on track, but that was my way of looking at it.
The Sesame Street connection would work, because the "neighborhood" was promoted as a way young people could relate to their lives, wherever they lived.
Jules