Elly is an Ankou [A type of reaper; hence; Shinigami] from Brittany; which is part of what is now modern France
Oh, I'm from there. Indeed it is a reference, but that might be because there is an Ankou in Shin Megami Tensei, which inspired a good portion of the PC-98 ^^~
As for me, Mr. MaskedLeon, Mugetsu and Gengetsu are actually... One and the same person. Just like Tsurubami cosplayed Tsubakura in Evanescent Existence, Gengetsu is cosplaying as a maid. Perhaps she even has a mutliple personality disorder. They live indeed, in another dream world, and I agree with you, it might be within Yuuka's own dream world (even if the guy who made the translation patches hinted at it being actually Genmukai, the Dream World from SoEW stage 3). For me though, they are (as nitendonut said) dream eating demons. They are the reason why Yuuka was aslept to begin with. But hopefully, our heroines barged in, which woke her up. Also, I think the reason why Gengetsu can master spark is because eating dreams allows her to mimic her victim's tricks.
The Cute Innocence possessing a Sleeping Terror part is there in order to hint at the sleep being artificial I think. Also, the same nitendonut said the Giant Catfish was perhaps Gengetsu in disguise. Which is for me the best headcanon "joke" I ever read.
As for other characters, mmh. Not many people may have played Kioh Gyoku here but I think the last boss, Muse, is from Yumemi's lineage, or at least from a sect that would have been formed on the same beliefs that Science and Magic can coexist. Both of them are using crosses by the way. They might be separated by several years though, so even if Yumemi's world and Muse are the same, the time setting might not be.
Also, the whole PC-98 characters not being mentionned again might be a trick from Yukari cutting the border between Makai, Dream Worlds and Gensokyo. Alice and Yuuka happened to be in a trip to Gensokyo at that time. Also, Yukari manipulated the border of consciousness and amnesia so that no one remembers them. Ah, and yes, Mima was trying to enhance her magical powers in Makai, so we won't see her anytime soon.
The windows characters interest me too, don't worry, but I can't find any place for interpretation or theories about them right now, so please pardon the lack of headcanon about them in this speech~ Oh wait, there are some. Remilia can perform Shurikenjutsu. See her ninja star 22B/C in hisoutensoku that nobody uses ? (also, there is a creepy eye on it). Cirno might become a youkai, because I have the feeling Yuuka might have been a fairy before (as seen in Kioh Gyoku, again I know some of you won't aknowledge a link between series but well, silly headcanon). Yuyuko is easily bored and that's why she enjoys starting danmaku battles (as seen in TD, RSS). The youkai mountain is actually a dormant volcano, and that's going to be a pretty big incident (think about it, tengus are living inside it, the Moriya shrine is on the top and the lava would directly come from Hell !).
That's all for now. Good night.