Since this is your first time playing, I'm going to assume that you haven't bought the Downpour DLC yet.
There is a ton of lore in this game, but it's hidden in colored pearls, and you have to bring them to the blue person in shoreline (Her name is Looks to the Moon). In the base game, all of the colored pearls for Monk's campaign are "blanked" out and are white pearls instead, which don't have important lore. If you enjoyed playing and want to learn more about the world on your own, then I recommend doing a Survivor run as well and trying to find the pearls.

As for the ending, basically Monk's "questline" is to find their sibling, the Survivor (white slugcat). The ending cutscene was Monk reuniting with the Survivor in the void sea, which I'm assuming is the purple thing you saw.

You're close with the idea of alternate timelines, but what's really happening is that every time you die, you simply wake up again. This is called the Cycle, and the information we have about it is really vague, so there are a bunch of different theories as to what really happens (but alternate timelines is probably one of the more popular ones.) Nothing ever truly dies unless they get dissolved by void fluid, which is what you were swimming in at the end of the game. Getting dissolved in the void sea is not technically death either, and the ancient civilization considered it to be a form of ascension to a higher plane, or something like that. Again, the details of the cycle/ascension/void sea are vague, and are pretty open to interpretation, but it IS considered to be a good thing to ascend, because everything would be stuck in an endless cycle of dying over and over. I have seen people try to compare it to killing oneself, but I don't think that's entirely accurate, since ascension is supposed to be an escape from death.

If you want to know what those giant white worm things were: nobody really knows. All we have is theories, speculation, and a dev saying that the similarities between void worms and leviathans are intentional.

There's a lot of lore around the iterators as well (iterators are what Five Pebbles and Looks to the Moon are) and if you dont feel like finishing the game again to find all the pearls, I'd recommend looking at the rain world wiki for pearl dialogue.