To me, it feels like someone refuses to be a "deathbed repenter". In which he would rather go to hell then simply act like he should not be punished for his sins/crimes/whatever. Aka, he would be "punishing his heaven". Atleast, thats what I get from the lyrics and energy of the song.
I don't think this song is about that... the lesser faith seems more about religion (though he might not talk about that in lesser faith either).
how I understand "punish my heaven":
heaven = sky.
the guy was depressed and remembered of the "good times".
"The strangeness of awakening
In an oh so silent world" - the feeling when you wake up and you realize how meaningless everything is. a kind of... an empty/silent world, as there is only nothingness. be it depression?
"Breathlessly waiting
For the first proud beams of light" - waiting, hoping for something invigorating, that makes you enjoy the life, to find a meaning for something.
"[waiting...]As the hours grow longer
And the shadows never fall" - the trivial, annoying, meaningless life goes on (waiting for some beams of light, but the shadows don't go away and seem to never go away)
"My sky has forsaken me
My desperation grows" - his sky/heaven has forsaken him: that is, he has lost hope for the beams of light (that is, his heaven, the sky) and as he realizes that there's no way out of this, and no hope for any beam of light, the desperation grows.
"Bring me the light
In the darkness that never ends
The dawn will never come" - the same as I've stated before: he needs some beams of light, but all he has is a never-ending darkness (which is, depression).
"Punish my heaven" - ok, his heaven (that is, those invigorating beams of light - for ages 'heaven' meant a place where you feel happy) has cast him out, into the meaningless, the trivial, the nothingness. and this "punish my heaven" seems something like a frustration, as if somebody has casted him out of his heaven and he replies to him "ok, then curse you!" (because he has done that to him). of course, because this heaven is his internal state, there's nobody to blame, but his heaven itself.
"The charge of cosmos
At our atmospheric skies
Will cause our fall" or
"The charge of cosmos
Charging at us from unearthly distance" - the same 'force' causing our depression, as the sky naturally protects us from the outer radiation - if it doesn't, we are doomed - the same is when that 'force' is 'attacking' us and we have nothing to do about it (our heaven/sky is gone, has suddenly disappeared).
"If I had wings, would I be forgiving?
If I had horns
Would there be flames to shy my smile?" - the feeling that being an angel ('good') or being a devil ('bad'), nothing really matters: it's all the same. even if he was an angel, he would not be forgiven (the beams of lights won't come back). and if he was a devil, could the things be worse than now?
"Hymns of loss are heard
From the masses in the streets
Praising the last of days
I punish" - ok, people are sad/depressed (the cosmos has charged at us all), perhaps enjoy the fact that these are the last days of sadness. because these are the last days he punishes, the days that follow don't deserve to be punished, so they are (or hope to be) good days.
"It's the choice between heaven and hell" - it's a choice between his heaven (his sky/beams of light) and his hell (darkness/depression/nothingness/trivial/etc.)
"My soul bears all the weight of mountains" - the weight/tiredness/etc. you feel when you're very depressed.
"I curse the heaven above me
As the light sinks through
My outstretched fingers
Fading in my open arms" - the last beams of light pass through his fingers and fade away. and this is the feeling I said above of frustration, that he is casted out: "curse you!".
"On this last day of light" (the light is dying)is the same as
When our autumn leaves fell" (the nature is dying = something of us is dying)
(the end comes)
is the same as:
"As the light sinks through
My outstretched fingers
Fading in my open arms" (the last beams of light = the light is dying)
"And as heaven itself commands me Out of its lair
I fear not, My face lined for darkness I'll go!" - ok, it's either heaven or hell. he was cast out of his heaven (the last beams of light) and thus he remains/goes into the darkness (depression/nothingness/trivial/end of hope/end of joy/end of fantasy) which he called it hell.
by the way, fantasy = that little thing that makes us feel that life is more than the obvious trivial, meaningless, empty reality.