"The Day Lady Died" doesn't contain much vivid imagery—until the end. Most of it catalogues O'Hara's errands and purchases without supplying a lot of sensory detail. (For example, he mentions the "drawings by Bonnard" in the book he buys, but he doesn't describe them; if readers don't know that artist's work, they can't picture it in their minds.)
There are occasional exceptions: in lines 7-9, for example, he describes the "muggy" weather, the brightening of the "sun," and the "ugly" cover of the magazine he buys (although this last description is pretty limited). Arguably, his mention of his lunch—"[I] have a hamburger and a malted"—engages with the reader's sense of taste. But even here, he doesn't describe how these things tasted; he just rattles them off like items on a shopping list.
Things get more concrete in the closing lines, though. In fact, the relative lack of imagery in the first 25 lines might be seen as a setup for the final stanza, which becomes all the more vivid by comparison. In line 25, O'Hara buys a tabloid "with her face on it," meaning a photo of Billie Holiday, the "Lady" who has just "Died." Then, in lines 26-27, he describes "sweating a lot"—an uncomfortable tactile, or touch-related, image—and remembering a Holiday performance he once saw. As he "lean[ed]" against the men's room "door" of a jazz club, "she whispered a song along the keyboard," so beautifully that a hush fell over the crowd.
In other words, in this humble, uncomfortable location (by the bathroom), he witnessed something sublime: a song that still echoes in his mind years later. The verb "whispered" conveys a gentle, haunting, intimate quality, while hinting at the vocal strain Holiday experienced in her later years. This image stands out powerfully against the hush described in the final line: "everyone and I stopped breathing."