I think Tony is on the other side. This is not a dream but limbo. He is at a point closer to death and able to really experience purgatory or limbo.

Think about where Tony is.

A traveling businessmen in a dead town away from his young children. He's going no where, can't get home, can't get in the meeting. He can't cheat on his wife because of how he feels for his wife. ( remember the I saw that look comment)
and he is going to forget his identity.

This my friend for a guy like Tony Soprano is Hell on earth.

Also the name Kevin Finnerty.

Kev-Infinnerty = Infinity

This is much deeper then a Dream

I think an old flame has been rekindled and I am hooked again. At least for this week