The play is a collage of events in the life of the protagonist, Willy Loman. It is a mixture of flashbacks and events that are occurring in the present. Willy seems to be living in two worlds, one where he is a great salesman, making awesome sales and being really well-liked by people and the second (one I like to call Reality), in which he is a sad, small little man who no longer earns a salary, but is reduced to living on commission, who is not so well-liked, and not such a great salesman.
The play could be seen as a sort of reenactment of the turmoil going on inside Willy's head, where he can no longer tell the difference between past and present. Perhaps the gas-inhaling he does using the tube attached to the water heater has damaged his mind a little bit and messed with the stability of his mental state, but it is clear that Willy would rather reminisce and lose himself in the better moments of the past than live out the current real life situation he's in. He has in essence let his control of his mind go, letting his thoughts and memories have free reign, which causes a bit of chaos. Indeed, Willy could be talking to a memory of someone while another, "real" person is sitting in the room trying to talk to him.