Joshua Steven Weitz, 39, was sitting in an armchair with the bag over his head and a tube running from the bag to a nitrogen cylinder.
''We found no fingerprints or other signs indicating someone else had been involved,'' said the investigating officer, Lieutenant Attawat Suwannarat.
''The nitrogen had been purchased a couple of days earlier by the man. If the family or the US embassy wish to hold an autopsy, we can help to arrange one.''
An expat woman who shared the accommodation at the Mountain Seaview Apartment in Karon until shortly before Mr Weitz was last seen alive has not come forward.
People on Phuket who feel depressed or down are advised to talk to friends or family, or contact a doctor.