Returnal is split into a series of biomes. After beating the boss of each area, they’ll drop a key which unlocks access to the next area, usually through a massive Stargate-esque teleport. And this is the first point of confusion people have: once you beat a boss in Returnal, you don’t have to fight it again. You can if you want, and there’s actually a lot of reasons why you might want to do this.
The key thing here is if you beat a boss, then die in the next area, you’ll return to the Helios. But Returnal plays fair by moving the teleport to the next area much closer to the Helios, so you don’t have to spend hours clearing out rooms you just beat to get back to where you were. And if you do skip ahead, you’ll immediately find a power-up on the other side that boosts your weapon level so you’re not underpowered for all the foes ahead.