In the very first paragraph of the story, the first- person narrator says, “But to-morrow I die, and to-day I would unburden my soul.” He knows that he is going to die tomorrow for the crime of killing his wife, and so it would only make sense that he is...
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in jail, awaiting his execution. He wishes to tell his story before his death. If he were not imprisoned and awaiting his execution, then there would really be no way for him to know that he is going to die tomorrow, unless he were going to take his own life, but we have no evidence to suggest that this is his plan. However, other evidence in the story confirms the idea that he is in jail and awaiting execution.
In the final paragraph of the story, for example, the narrator describes the appearance of the black cat atop the corpse of his wife, hidden within the basement wall, saying, there
sat the hideous beast whose craft had seduced me into murder, and whose informing voice had consigned me to the hangman.
The narrator had, unwittingly, walled up the cat along with the corpse, and the cat’s yowling has given the narrator’s guilt away to the police who have come to the house. When he says that the cat “consigned [him] to the hangman,” we know that the narrator expects to be hanged tomorrow, and this provides further evidence that he is in jail and awaiting execution.
The narrator of the story is what's known as an unreliable narrator. As the name implies, this means that we can't be sure that what he tells us is true. Yet there are hints, nonetheless, that the narrator is in prison, such as in the following:
"But to-morrow I die, and to-day I would unburden my soul."
Stating that he will die tomorrow strongly implies that the narrator is to be executed for some unspecified crime. Though if he's going to be executed, then we can establish straight away that he's been convicted of a very serious crime indeed. And if the narrator is to be executed, then it stands to reason that he must be in a prison cell awaiting his imminent demise. This initial impression is confirmed right at the end of the story:
"Upon its head, with red extended mouth and solitary eye of fire, sat the hideous beast whose craft had seduced me into murder, and whose informing voice had consigned me to the hangman. I had walled the monster up within the tomb."
A prison cell is an appropriate setting for a confession, particularly of such a heinous crime. Indeed, it is hard to imagine a more fitting environment for the narrator to relate the grotesque, sordid details of his lurid tale.
Poe never explicitly says if the narrator is in prison. Instead, the narrator says, at the beginning of the story, that he writes because “to-morrow I die, and to-day I would unburthen my soul.” The assumption is that the narrator is a condemned prisoner. There is another indication that he may be in prison at the end of the story, when the narrator says that the cat, in making the existence of the murder known to the police, had “consigned me to the hangman.” It’s pretty clear that he’s been caught.
Another question (maybe a better one) about the frame is, why bother? In other words, why does Poe choose to tell this story in this way, as the written confession of a man who has already been found guilty of a horrible crime and who is about to be executed? Especially since the framing fiction gets such scant attention we have to guess from just a few words what the present state of the narrator is. The answer I think lies in Poe’s desire to create the maximum emotional effect, in this case horror and dread. The frame provides a context within which the story can be conveyed to the reader (the fictive written confession), but also changes the way the reader encounters those events—rather than using a third person narrator to “show” the reader what happens, everything we know comes from the point of view of a homicidal maniac. The events he relates are horrifying, but perhaps even more horrifying is his madness.
At the very beginning of the story, the narrator tells the reader: "But to-morrow I die, and to-day I would unburthen my soul." The narrator never expressly states that he is in prison, but it can be assumed that that is where he is considering the fact that he is awaiting his own execution.
Another instance where he talks about his fate is at the very end. When he is explaining that he had sealed the cat in the wall with his wife's dead body, he comments that the cat's meowing from its prison "had consigned [him] to the hangman."
These two lines from the first and last paragraphs respectively frame the story of the narrator's crimes, telling the readers the outcome of the story from the very beginning, and then reminding them of it at the end.