Concept: nice little story, fits the theme very well. I really liked the subtle story things like title screen flashing for a moment, hinting that what we're doing in the game is not right, or the ending screen telling us to let go of this game, drawing a parallel with the story, cool stuff.
Gameplay: it's simple and mostly a device to convey the story, nothing extraordinary but it does it's job well. being able to fall of the edge of the screen is a kinda weird though, breaks immersion a bit.
Art: the spritework is very pretty, especially the backgrounds and level art. Some sprites like the characters feel a bit out of the place though due to the inconsistent pixel sizes.
Audio: the music is pretty fitting, matches the atmosphere of and the story well. I feel like the game is a bit lacking in sound effects though, some actions like dying feel like should give some audio feedback.
Overall, very nice submission with some rough edges. For your first game it's very impressive!