This episode had a lot to do with the opening montage of episode 1. According to HBO.com, the lyrics of the songs played over that montage were from William S. Burroughs' "Seven Souls." The first part of which reads as follows:

"The ancient Egyptians postulated seven souls.

Top soul, and the first to leave at the moment of death, is Ren, the Secret Name. This corresponds to my Director. He directs the film of your life from conception to death. The Secret Name is the title of your film. When you die, that's where Ren came in."

And from wikipedia:

"Ren(name): A person's name (rn in Egyptian) was given to them at birth and would live for as long as that name was spoken, which explains why efforts were made to protect it, placing it in large amounts of writings. For example, part of the Græco-Roman Book of Breathings, a descendant of the Book of the Dead, was for ensuring the survival of the name. A cartouche (magical rope) was often used to surround the name and protect it for eternity. Conversely, the names of deceased enemies of the state, such as Akhenaten, were studiously hacked out of monuments."

In Tony's dream, he loses his wallet, his ID, and eventually, his name. Remember toward the end when he told the doctor his name wasn't Kevin Finnity, the doctor asks what his real name was, and Salesman Tony says something to the effect of, "what does it matter? I'm going to forget soon any way [in regards to the Alzheimer's]."

This could be the departure of Tony's first soul, his "Ren."

Also, if you go back and rewatch that opening montage, you'll see that AJ is shown when Burroughs explains the fifth soul:

"Number five is Ka, the Double, most closely associated with the subject. The Ka, which usually reaches adolescence at the time of bodily death, is the only reliable guide through the Land of the Dead to the Western Lands."

As Tony's only son, you could say that would make him his double and the most closely associated to him. Supporting this theory, at least in my opinion, is that AJ has reached adolescence at the time of Tony being shot (you could say he matured a lot in this episode). He also has the long hair, which resembles Tony's hair when he was that age as seen in the flashbacks from season 5 relating to him and Tony B. Carmela even made mention of how, when Tony was younger, his hair was long enough to "grab hold of."

Also, in this episode, AJ used a "poor you" on Meadow, something Tony has done numerous times over the years (something he obviously got from his mother). Then, if you go back a ways we know that AJ also suffers from the panic attacks that have plagued Tony.

So, if AJ is Tony's "Ka," the question becomes, how can he be "the only reliable guide through the Land of the Dead to the Western Lands" if he doesn't doesn't exist as himself in Salesman Tony's dream world?

Long post, I know, but I think David Chase is really getting at something deeper than just Tony dreaming about what his life could have been. There might have been more connections to the "Seven Souls" in there, but that's what I picked up on the first watching.

Oh, and another thing, the name of the bald Asian doctor that Carmela spoke with: Dr. Ba. From Burroughs' words:

"Number four is Ba, the Heart, often treacherous. This is a hawk's body with your face on it, shrunk down to the size of a fist. Many a hero has been brought down, like Samson, by a perfidious Ba."