O what can ail thee, knight at arms, Alone and palely loitering (lines 1-2)
The knight seems almost ghost-like in these first lines. The speaker finds him all "alone" and "loitering" near a lake. He's pale like a ghost, and the "loitering" seems like a ghost that haunts the place where he died.
I see a lily on thy brow With anguish moist and fever dew (lines 9-10)
The speaker can tell that the knight has a fever. High fevers can cause hallucinations or visions. Is it possible that the knight is just a sick man who had a feverish dream about a fairy lady who seduced him and then ditched him?
And nothing else saw all day long (line 22)
The knight is so obsessed with the beautiful lady that he doesn't even see anything else. He's blind to the rest of the world.