"To Althea from Prison?" Yep, plenty of confinement in this poem—but plenty of freedom, too. The speaker doesn't just sit around and bemoan the fact that he's stuck in prison, however. In fact, the poem is really more about how free the speaker is. Free? But he's in prison? True, but one of the major themes of the poem is that true freedom is mental. It's all about how you look at it. The speaker is freer than just about anybody else because his mind—his imagination—is so powerful that nothing can confine it. Not even some gross, English prison!
Free to be! The human mind is powerful enough to overcome all forms of confinement (prisons of stone and iron). It cannot be imprisoned.
Not so fast there, gang. Confinement is everywhere in this poem, despite the speaker's claims that he is truly free.