This song is clearly about Louis-Philippe of France.
In the french revolution, 1789–1793, Phillipe as a liberal supported the reformation of the french society. The royal court/family became very upset with him. People loved him, but his power was weak. He left to englandfor some time and returned in 1790 to france. He was called a "puppet" for the revolution by several people, amongst them Honoré Gabriel Riqueti.
He also was Colonel of the 14th Regiment of Dragoons (Cavalry) where he became something like a "peoples hero" and rose to the rank of Lieutenant-General because of many victories.
He was exiled because of his role in an act of treason against the republic.
In the exile he became a "homeless tramp" and felt very lonely, especially after his father was beheaded in the revolution because of letters he himself wrote to him. He traveled all over the world in that time.
After the abdication of Napoleon, and the restoration of the monarchy under his cousin King Louis XVIII, Louis-Philippe returned to France.
In 1830, the July Revolution overthrew Charles X. The the Chamber of Deputies denied his son his birthright, the crown and gave it instead to Louis-Philippe because of his Republican policies and his popularity with the masses.
"It was the wicked and wild wind
Blew down the doors to let me in." - The revolution "let him in", made him king.
He was a loved king, a king for the "simple people".
Sadly power corrupted him and his rule became more and more monarchistic again, supporting the royal families and rich people. An economic crisis in 1847 led to the citizens of France revolting against him the following year. he gave power to his grandson and fled secretly to england. His grandson was dethroned and power was given to Louis Napoleon Bonaparte.
Louis-Philippe was the last king to rule France.
In the background of the music video the painting "La Liberté guidant le peuple" is visible, it shows the July Revolution 1830 that had just brought Louis-Philippe to the French throne.
PS: Louis-Philippe isnt Louis XVI; actually the story of Louis XVI doesnt resemble the lyrics at all.