There's a line in "Reality" (the song) that goes, "Now my death is more than just a sad song." It took me years of listening to this song to make this connection, but Jacques Brel's "My Death" was a song that Bowie often covered, especially back in the Ziggy era. He's saying that now that he's older, "My Death" is more than just a sad song, it's an impending reality.
The cover to Blackstar is really genius, if you think about it. Mainly the one for the vinyl record. In the context of Lazarus, Bowie is saying that now that he's dead he is completely exposed, hence why you can see the vinyl through the cover, with all on the imperfections that come with vinyl, just as Bowie's imperfections will finally come to light. This is the same reason for the matte-eggshell finish, which picks up every fingerprint and crease.
The Man Who Sold The World by David Bowie is great because of this. Its largely Nietzschian lyrics are already somewhat creepy but "The Supermen" is essentially about the death of god and how men are killing each other for a chance to die.
Where sad-eyed merriment tossed in slumbers
Nightmare dreams no mortal mind could hold
A man would tear his brother's flesh, a chance to die
To turn to mold.
The fate of Major Tom at the end of Space Oddity was one for many years. It takes most people a couple or more listens to realise where the song leaves him...