I always thought he was a suicide, jumped in front of the train
There is a lot of that in any city, including New York
They pushed me, what you think I jumped
Denial - can't admit he did it
Depressed and ended his life
Is suicide a mortal sin, the way it is depicted in other stories - in which case he would have been taken to Hell
If he was an innocent then Heaven would open the way it did for Sam, and he could choose to reject it and stay as Sam did
Maybe this is showing Sam that if he does not wrap up his unfinished business and move on soon, he would be trapped in a loop like we see here
Who sent you
A reference the the earthly people who pushed him and killed him
A reference to THEM come looking for him, to take him
As you don't have a choice when the devils come for you, but you do have a choice with the angels, maybe he does the Descarte thing of seeing the angels come to lift him as demons come to rip his life away
Oda May warns Sam about holding on to life, give up the ghost
So if you don't move on soon enough, you lock in and create your own hell on earth, and cannot see the angels for what they are when they come to help you
God gave you free will, so in death you still have this, the angels cannot take you unless you want to go, so you stay on earth as a ghost