It is, in fact, a reference to 2004 comedy blockbuster Team America: World Police, where Kim Jong Il sings about how lonely he is. It is also a passing phrase in internet vernacular.
Was this inspired by the SA thread that points out that his awkward but audacious deception is what convinces Marge to re-interview Jerry Lundergaard? It's obvious now, but I never caught that before. I'd thought it was just comic relief.