What is the significance of Mitty's talking to himself in reality? How does it relate to the daydreams, which he presumably only visualizes and hears in his own head?

Most of the time when Mitty dreams, all of the narrative that is presented to us the readers appears to be taking place solely in his head, silently to outsiders; it is as though we are privy to a movie that he is projecting and watching in his brain. However, Thurber depicts imagination as far more dynamic and embodied of a process than the figure of an abstract movie theater may suggest; we realize that material and verbal suggestions enter Mitty's imagination from the outside scenes, and that the words in Mitty's mind sometimes leak out to the outside. In the latter case, Mitty always ends up embarrassing himself, because other people do not have a full picture of what is going on in his head; his frustration at this inevitable incompleteness of communication is what leads him to exclaim to his wife, "Does it ever occur to you that I am thinking?"