Yes, it is okay to talk, but you may get more benefits from a relaxation massage if you let go of your everyday worries or concerns.
However the therapist will understand. They are trained not to talk about themselves during your session, but will simply answer your questions with a yes or no.
If your session is rehabilitation-based, the therapist will need to stay in constant contact with you regarding pain levels and measuring relief. Because it’s important that you offer specific feedback to the therapist, she may keep talking to keep you from drifting off.