Make sure to explore Comstock's bedroom on your way to the bridge. The bedroom is located between floors, opposite the stained-glass window. Pick up Voxophone #79 from the bed.
There's also Comstock's study on the same floor. Approach the large desk found in this cabin and collect Voxophone #80 (this is the last recording you'll find in the game).
Go behind the glass-stained window and ask Elizabeth to open a gate leading to the zeppelin's bridge. Use the steering controls found on the bridge when you're ready for the final battle.