Zelda Informer: "One of the most popular and prevailing theories in the Zelda kingdom today is the Link is Dead theory, which stems from Link dealing with purgatory and the acceptance of his death during the events in Majora’s Mask. In other words, Majora’s Mask never happened, as it was a twisted part of Link’s own mind in purgatory as he went through the five stages of grief, eventually accepting his own death.
This theory, as far as we’re aware, has been mentioned in passing several times over the last handful of years, but its earliest roots stem from an editorial here at Zelda Informer – the 5 Stages of Grief in Majora’s Mask. The editorial itself doesn’t say Link is dead – rather it talks about the people of Termina and how they are dealing with the constant and obvious impending death around them, and how Link is there to save everyone (or as many as he can) from it. Still, with a few logical conclusions and a stretching of these themes, it is easily and quickly turned into a theory about purgatory."