It's interesting that the story can be read as both real and a dream. In that second case, everything that happens after the initial cutscene is a delirium: you get to Yharnam to get your blood ministration, because you are sick. Because the treatment comes from the Great Ones, it induces the nightmare. You are told to transcend the hunt, that is, to wake up - only then will you be cured. To wake up, you need to kill the child born from the Pthumerian Queen (who is pale, as all her race), that is to find the Paleblood. In this sense the Yharnam from the game is a nightmare born of the blood of the Great Ones. This theory also explains the multiplayer - there are many people getting blood ministration treatments; each one is a hunter looking for the paleblood.