Beyond the simple fear of dying, "MS. Found in a Bottle" goes all philosophical on us in its examination of life and death. The narrator spends the entire story facing down various potentially lethal scenarios, meets a crew of sailors who seem to defy death at every turn, and in the end goes with them to their deaths thanks to a giant whirlpool at the South Pole. The action shifts at several key points—when the storm first arrives, when the narrator reaches the black galleon and when the narrator starts writing again well after his arrival—that we might think of as shifts from life to some kind of afterlife, all leading up to the moment in which the narrator experiences the ultimate death—the unknown.
The narrator has died at some point (if so, say where) and is now in purgatory or some type of afterlife. We just missed the signs.
The narrator is still among the living, and his surroundings are just extraordinary portions of our own world—things yet to be explored.