IT COULDN'T HAPPEN HERE: but it did and there's nothing we can do to change that

It's never made entirely clear what the 'it' is that couldn't happen here. Unless they're referring to the excruciatingly awful over-acting, storyline that's pure gibberish and nonsensical visuals.

In which case it most certainly could and unfortunately does happen here.
This 1988 vanity project by The Pet Shop Boys indulges their artistic pretensions to the detriment of everyone involved. Neil Tennant drifts through scene after ridiculous scene like a 'Another Country' period Rupert Everett wannabe while Chris Lowe trots along beside him like an obedient lapdog perfecting the distant stare which was the fate of so many 1980s era band musicians who were contractually required to appear in their group's videos but weren't given  anything to do.
The duo's weak acting skills and Tennant's unconvincing delivery of dialogue can just about be excused - they're musicians after all, not actors, and they should have stuck to the former - but the professional thespians in the cast really should be ashamed of themselves. Gareth Hunt and Joss Ackland compete for the hammiest over-acting honours with Barbara Windsor nipping at their heels. I appreciate that actors like to work and need to earn income but really, do you have no pride at all in your craft and your reputation?
The story such as it is appears to have something to do with fragmentary memories of Tennant and Lowe's childhood set to a random collection of Pet Shop Boys tunes few of which have anything to do with the visuals. Director Jack Bond does make a half-hearted effort to associate some of the songs with the on-screen action but with others he just gives up and wheels out a dance troupe to perform routines which evoke only memories of Legs & Co from Top of the Pops rather than 1960s England.
Not only do Tennant and Lowe come across as a couple of art school poseurs but the film diminishes them as musicians with its inept and random presentation of their hits, and an over-reliance on the album tracks that weren't singles precisely because they're so tuneless and/or unmemorable. Using one of these rather than a hit to open the film was a big mistake because it immediately deflates expectations.
The Pet Shop Boys made some great music and that is what they should have stuck with. Trying to spin an 80 minute semi-surrealistic art-house film out of a 4 minute image (the average length of one of their singles) was a really bad idea which does them no favours and inflicts cinematic grievous bodily harm on the audience.