Ugh, this didn't turn out as good as I thought. OTL
KyuuKyuu-kun was surprisingly easy to color though.
In Yume Nikki you have this protagonist (Madotsuki) who can enter lucid dream state and explore a huge nightmarish world in her head. I guess the easiest to avoid theory making is to say she does so, thinking that if she confronts her fears, they will disappear. But after finishing with collecting every effect and exploring everything there is, the world is still there, which leads to her suicide.
I thought it was kind of sad that it ended this way at first. But then again, walking out the door wouldn't really change anything for her.