@Desi: According to the ever authoritative Big Whal Ittle,

1. the narrator was a former whaler
2. who kept a little harpoon in his "bandana" – presumably a small red suitcase meant for band-aids and other medical stuff.
3. Being on drugs, he spied a whale on the Mississippi and uncased his harpoon, shouting "Thar she's blowing!" – sad!
4. while Bobby, realizing that her friend was hopelessly hallucinating, sang the blues and eventually slipped away.

Easy, innit?