No, that's the same with everyone. But at some point, you will come across a transportation... thingy. I don't know the official name, but the thing that blows a bubble and takes you anywhere in the mental realm. I think it'll be just as you finish the first part of the big top, or just before you face the butcher the first time. Just use him and go back to outside the meat circus to see the gypsie.
Man it's been a while since I've played this game.