Sam gets desperate and finally he believes his only recourse is to get himself turned by a vampire and then kill himself. He doesn't drink blood and he keeps some of the blood of the vamp that turns him so once he gets out, they can reverse it. However, since he is not fully a monster, he can't fully get into purgatory so he is stuck in between, basically a ghost in both worlds. I would prefer a happy ending, but I don't care how you get there.