Mr. Small's Theatre is on quite a large hill, hence the line "rock it so well we will roll down the hill."
The Electric Banana is another theatre in Pittsburgh, now defunct, where TMBG used to play, hence the line "I still have dreams about a place called the Electric Banana where we're falling into space."
The song's about paranoia. According to what the Deranged Millionaire says, the Electric Banana haunts TMBG (23 people!). So when they go back to Pittsburgh and play at Mr. Small's, they remember the nightmare (dreams, falling into space) at the venue. They are partly hoping but they are halfway afraid (the studio version), meaning despite their hopes for success, they're still scared that the show will go as poorly as it did at the Electric Banana. However, when they play, they rocked it so well that they rolled down the hill. So, the underlying meaning is that they should never have worried in the first place, even with that past experience. -Ecks
A different Electric Banana was mentioned in Spinal Tap.
- Hello; my name is Marty DiBergi. I'm a filmmaker. I make a lot of commercials. That little dog that chases the covered wagon underneath the sink? That was mine. In 1966, I went down to Greenwich Village, New York City to a rock club called Electric Banana. Don't look for it; it's not there anymore. But that night, I heard a band that for me redefined the word "rock and roll". I remember being knocked out by their... their exuberance, their raw power - and their punctuality. That band was Britain's now-legendary Spinal Tap.