I think that maybe in the beggining of the game could be an text explaining the context, like, the character is a zombie in a kind of dungeon and have to go trough the doors
My favorite one is the one where you died in the dungeon. Though the purgatory is the one that makes the most sense, as the game could be played forever: With your progress seemingly have amounted to nothing as when you reenter rooms later on the enemies return. Like Sisyphus from Greek myth.
I like that a lot. But how do we explain it to the player?
Edit: maybe we could have his dead body or something and then some text will explain what happen from the characters point of view like waking up from amnesia or something.