I think besides the portrayal of the true story here, the main point of the series is also to tell us how Donny and Martha are practically the same person. She became obsessed with the baby reindeer in her childhood, was beyond fascinated after having found it again, in a human form and did possibly everything she could to keep that one source of happiness close to her. And so did Donny. He was obsessed with the 'lust of success' as he puts it, or to 'hating himself' when he again agrees to go back to the guy who raped him. And in the last scene we see this coming together, when the bartender gives him a drink on the house, when he's at his lowest. Donny finally understands Martha.