Sure, they unknowingly pick up a woman obsessed with murdering them and that's obviously earth-shattering in its own right, but the way the world is actually "ending" for the both of them hits even harder in its relatability. Alyssa finds it difficult to stay grounded in her day-to-day and relationships when she's continually reminded of being attacked, and James lost everyone in his life, even Alyssa, who he wishes could be "the answer" to his pain. Barden and Lawther's performances, down to their telling inner-dialogue, are tactful and poignant in portraying their issues that are a lot tougher than a case of teen angst. TEOTFW even finds complexity in Bonnie when she's about to kill them, revealing she's just as much of a victim struggling to rationalize how she was manipulated by the man she thought loved him.
In that climatic stand-off between Bonnie and James and Alyssa, she says that they deserved to be punished, and Alyssa spells out what the series has been conveying all along. She says, "You think we weren't? I'm always in that house. I'm always in that room. I can't get out." She, James, and Bonnie too, don't know what to do about their shared pain, but TEOTFW does a stellar job in its own sarcastic yet heartfelt way to explain that one can get through with time and the help of others.
It would've been pretty f***ing bleak if James had died in Season 1 and TEOTFW did end. It is a good thing, though, that Season 2 is bleak in its own way, revealing what they're going through. It makes a point to explain that Alyssa is and never was James' "answer," but they've got each other -- and with that, the world won't going to end.