I had to look up the story on Wikipedia as I experienced a bug in level 9. There was no sound or text, but two characters were shown in the cutscene. After having read the plot, I think your interpretation is quite smart and very well-fitting to the theme - good job!
If I may add more feedback: I'd prefer a faster movement of the character (and enemies). Also, more variations of enemies or traps would make the levels more exciting. I like the idea of walking from level 1-9 and then returning from level 9-1, but you could experiment a bit more with the level design, as returning from level 2 and level 1 was not challenging even though it's the climax of the game. You could think about more walls so that the player has to think about how to reach the exit with the restricted movement, or you could add some more story, like text boxes that read that Orpheus is starting to doubt that Eurydice is still following him.