The entire movie is made to look like it happened in one go, just like a stage play.
After Riggan's botched suicide attempt, he blows away part of his own nose; the subsequent bandages covering up his face in the hospital look an awful lot like Birdman's mask/cowl.
The scene where Riggan performs in his underwear is packed with symbolism. Actors, especially famous ones, are constantly in the public eye. Knowing that people are watching and potentially judging you makes you feel exposed, aka "naked". So Riggan winds up literally performing in his underwear, symbolizing that sense of nakedness. On the way to the theater, he's surrounded by curious onlookers who take videos of him. Not only is that realistic, it also symbolizes the sort of attention that celebrities get: People pay attention to you, but they don't actually care about you. If anyone cared, they'd feel bad for him and they wouldn't embarrass him further by taking videos and posting them online. On the way in, Riggan encounters a guy who's suing him. This symbolizes the various real-world concerns that actors have to ignore in order to put on a good performance. And when Riggan starts doing the scene and the play reaches its climax, his producer has to step away and we don't get to see the climax. This reminds us how being in the media business is not the same as being a member of the audience. The audience gets a pure experience, but the creators have to deal with other concerns.
