Sam is absolutely talking to himself. The joke is the game's most honest admission about what long-haul delivery across an extinction-level landscape does to a person's interior monologue. The self-awareness does not prevent the talking. It just makes it funnier, and the humor is doing real work — Death Stranding 2's comedy is not relief from the stakes but a way of surviving them, the specific sanity-preservation strategy of someone who has learned that taking the situation completely seriously is its own kind of madness.

The talking-to-himself is also connection in the only form available during the solo stretches. The strand is internal when there is no one else on the line. Sam narrates to himself because the narrative keeps him present, keeps him moving, keeps the one foot in front of the other from becoming just the body continuing without the person inside it.