The scene in the show is the villain putting on a puppet show to explain all of the terrible things that have happened to the main character's previous companions. Each time, the main character protests with a reason that it's not as bad as it seems, to which the villain sarcastically replies, "well that's all right then!"
For example:
Toymaker: Und then he was meeting Clara. Ooh! But she was killed by a bird.
Doctor: She still survives in her last second of life.
Toymaker: Well, that's alright, then!