There is no explicit explanation as to why Miss Brill never communicates with anyone in the story, she clearly interacts with others when she reads the paper to the old man and with her students. Yet in the park she remains completely outside of the world and chooses only to observe.
She appears to take enormous pleasure in the feeling of connection that she feels when she feels the band is interacting with her and that she has joined them. But that feeling is completely dashed when the young couple makes fun of her and she overhears them.
When she returns home crying because of their cruelty, it perhaps hints that she has suffered some other cruelty at a different time or that she has withdrawn from the world for a reason that the reader doesn't know.