The "joker" here ["All Along the Watchtower" ] is the older [Bob] Dylan himself, whining about exploitation, and the thief's rejoinder re-contextualizes the earlier critique into the religious frames that would become more prominent as time went on.
Bob DylanWell, the moral of the story, The moral of this song, Is simply that one should never be Where one does not belong. So when you see your neighbor carryin' somethin', Help him with his load, And don't go mistaking Paradise For that home across the road.
Bob DylanThere is a house in New Orleans they call the Rising Sun, and it's been the ruin of many a poor boy and God I know I'm one.
Bob Dylan