This is a really good, entertaining game that messes with your expectations at every turn.
Personal interpretation of the story is that "the cage" is a metaphor for some kind of psychological problem (depression, anxiety, addiction, etc.) that the protagonist is suffering from and is "trapped" by. The narrator represents the part of the protagonist that keeps lying to themself, telling themself that this is the only option they have, that there's no way to escape and they'll only get hurt if they try to change anything, all the while only hurting themself even more. Meanwhile the character we play as represents the part of the protagonist that wants to get better and move on with their life. The bad ending is where the main character is overcome by their problem and never recovers, while the good ending is where the main character defeats their inner demons and takes back control of their life.