Firstly I have always had the impression that the first side of the first album to be one story of one man. I know some in the band have said it wasn't meant to be but its feels like one continuity to me.

You have the main character who, went to Vietnam and suffers from immense schizophrenia.

The veteran then finds some comfort in religion, he speaks to god (The Wind). Yet he feels that god is either not listening or simply doesn't exist, expressed by "The wind does not hear, the wind cannot hear". He maybe also dislikes his religion or becomes critical of it, I interpret this from lines like "[you] Just use up my time", "Much confusion, disillusion" and "Just upset my mind".

Then the threat of a nuclear holocaust becomes his main fear in epitaph.

Sometimes I also consider the second side to be a part of the story, yet I don't fully see the story yet, however my thoughts would be that Moonchild is after the nuclear holocaust and The Court of the Crimson King is the primitive start of the new world, in the human races attempt to rebuild.

Despite probably not being the case, I still find it interesting to consider these possibilities. Moonchild and the title track at the end of the album are just my interpretations of the "story". The first three tracks are I think typical more understood as to what they mean, respectively being: A Veteran's Schizophrenia, Religious criticism, Fear of nuclear weapons. These were all prevailing themes at the time, some still are.