The closet may signify a feeling of being constricted.
With everthing on fire, this could symbolize how chaos surrounds you and you feel trapped.
The smell of burning flesh may be symbolic of your sense of something in decay, perhaps a plan, idea, person, place etc.
Your calling for this Theo seems to indicate that you desired help from this person, but they could not help you.
The door opening from the left and the shadow man symbolizes your inner shadow god aspect coming to your aid and releasing you from your torment.
The Shadow-God is the deep and dark contents of our unconscious, the things most dread and wish to avoid and disown, that they may pretend to themselves that it does not exist with in them. It is the inner monster, so to speak.
Considering it was your Shadow God that freed you, seems to be something you should embrace..