I would like to bring up what I think are two relevant points—

1) there are known instances where the dreamself disappears when the real self wakes up, such as when John is on the Battlefield. obviously this wouldn’t affect people like Dirk who are simultaneously awake, and only applies once the dreamself gains consciousness for the first time. This points to their insubstantial nature—like our mental states, they can influence the physical world and our perceptions thereof, but they don’t necessarily exist physically in the same way bodies do. It should also be noted that this stops happening when the dreamself dies, as we see from jade’s dreamself and basically all the other ones once they’re murdered. this means that while the player is able to be conscious while asleep, the two bodies are effectively one (again, excluding Dirk).

2) the other point is that other thing are known to just pop into existence, such as the results of chucklevoodoos, which exist in the same realm as the dreamself. this means that the dreamself could be just as it seems, a purely mental projection that happens to have some influence over physical events.

I think that asking where the dream selves come from is the same as asking who built the towers on the moons of Prospit and Derse. they weren’t created in the same way things within a universe were, they simply start existing when necessary, and once they start it’s as if they’ve always been there. I think the dreamselves are included in that.