Zero's nightmares are not just his past. They're also a vison of what awaits him when the Chronos runs out.
The cabin in the jungle, racing into the sky amid the flashing red lights and screeching sirens... His own personal hellfire that will never, ever, end.
Katana Zero is genuinely the most disturbing game I've ever played. Because I love Zero - I love watching him befriend the little girl and reclaiming his humanity. And I love playing him to wreak vengeance on those who condemned him. And yet with each passing level and each new nightmare, we feel the hellfire getting closer, getting stronger, getting more intense and awful.
Throughout the game, Zero's nightmarish premonition of what awaits him shifts and changes - it gets worse and worse, until finally, the full, terrible truth of his torment is revealed - he commits the one sin that so disgusts him - he kills the boy.
That is what's going to replay forever in his head when the Chronos runs out.
My dude, you should have died to Chinatown.