Although this falls in line with Paranoia Fuel, given the oppressive atmosphere, the eldritch nature of the city and the machinations of the Strangers, there's still the true forms of the Strangers to contend with. Brr.
The Strangers. It's not just that they're corpses animated by the squiddy aliens that live in their skulls, it's that with just a syringe or two, they can completely erase all your memories, your personality, everything that makes you you and replace them with synthetically created false memories. And you'll never know the difference, or how many times they've done it.
It may not be the most disturbing thing, but Dr. Schreber's first memory is of himself, removing all of his own memories from his own mind. Place yourself in the same position and realize the horror that is voluntarily destroying all of your identity.
Mr. Hand. Just... Mr. Hand.
Particularly after he starts thinking like a human.
When we see from Inspector Bumstead's perspective when he's thrown out the city, he - and the audience - realize with a certain nihilistic dread that this is just one small city in the middle of nowhere, in the grand vastness of space. Something about the crushing size almost renders his Heroic Sacrifice meaningless...