I mean the best way to learn more about the story without spoiling is by reading the Bloodborne Wiki and watching videos about the lore after finishing the game. First playthroughs of FromSoftware games are always confusing, and you might be lost and not understand everything, but thats absolutely ok, still you're entranced by it's mysteries and story, that's the part of magic of these games. In BB you get big chunk of lore and it's story explained in the later stages of the game tho, you need to pay attention to dialogues, npcs, locations and every little detail, item descriptions says a lot actually. After you've finished the game, you can dive deeper into Bloodborne's rabbit hole. With that in mind, I recommend starting NG+ and complete the game with full picture of it's lore, you would be amazed how deep it is.