I don't think I'm necessarily the expert on this movie. But I would really have to say I think the circumstances he's facing led to his visits from Death or the Grim Reaper. Which is what, more than anything, lead to the downward spiral into insanity. If that is, he was definitely insane.

So yeah, his loneliness led to his obsession with She. And his guilt over killing her probably messed with his mind quite a bit.

I might need to know something about the original Dylan Dog comic to answer that. And I don't. But I believe I know the significance of the ending. It had something to do with Dellamorte looking for something he couldn't find outside Buffalora and not knowing that all he had was with him all along.

That's really cliched, of course. But the thing that led me to that conclusion is the way he is left with only Gnaghi by the end of the movie and he feels he may have killed him. I think. Because he seems deeply saddened when Gnaghi lands on the ground looking very badly hurt and says something like, "you were my only friend" or "best friend."

About the differences between Cemetery Man and Dellamorte Dellamore, maybe the IMDb has some info about that. Did you check?