I've always had a very unorthodox theory regarding this, and it might be completely boneheaded, but here it goes.
I personally believe that the whole album takes place in real time, and the entire story that unfolds takes place while Nicholas is under hypnosis. What I mean is, Nicholas is hypnotized throughout the entire album, so he never physically goes to Edward's house or anything like that. He gets so deeply entranced that he believes that he has reawakened, and he sees himself driving home and going into his house. In the real world, the hypnotist shouts "Open your eyes, Nicholas!" to wake him up, and the scream is just Nicholas being woken very suddenly.
I dunno. maybe that's stupid, but the idea of this whole story ending with Nicholas getting shot is really too tragic, even with the message of reincarnation.