After having played the game, I've got a couple of interpretations as to what just happened (probably all wrong - lol)
1. Everything that is happening is in Maddie's head (her favourite film is with a pilot that saves a girl that loses a leg) and the character we're playing is a manifestation of someone who wants to save her by literally taking pieces of himself off for her (this could also explain how we see the 'flayed person' in different areas and why the phone turns up in several locations - she's effectively talking to herself)
2. We're playing an obsessed stalker that desperately wants to be her saviour - he knows all about her movements and her favourite films/cigarettes and will do anything to please her. He is both the pilot and the man in room 255.
3. The explosion at the beginning is the fighter jet colliding with their buildings - this is a form of purgatory and the character we're playing is in the seventh circle of hell, having to repeat his regret of not being able to save Maddie.
As said, probably all wrong, but an intriguing concept, to be sure!