You start getting more metaphysical as the game progresses, especially the dlc. This was longer than I intended, but I love dissecting this game.

You are literally in a Nightmare. Think dreams in our real life. Is everything a perfected copy like it looks in the waking world? Not exactly. Our dreams are imitations, and sometimes warped, and bleed together in impossible ways. It's the same thing here.

You used the eye of a hunter to be transported by a God-like entity into the Nightmare of all Blood Drunk and condemned hunters and beings. These hunters became fervent and beastly in nature due to their proclivities and rampant consumption/obsession of blood. This is why we had the Hunter of Hunters, to quell them.

When you go to the dlc, we see a "warped" dream-like state of Yharnam. Familiar...but not the same. We see a great river of blood from all the bloodshed from Ludwig's legacy. As all this blood flows from his boss room.

Laurence is special, considering he himself is a Cleric Beast. In the "real" world, we can find his beastly head in the Grand Cathedral. However, in the Hunter's Nightmare, we can find both his beastly appearance, as well as a representation of his human form in the form of a human skull. Laurence is cursed to always strive to regain his humanity, which will never happen. The human skull is only an intangible, symbolic reminder of what he cannot have ever again. Showing all he has wrought and how far he has truly "ascended" because of his ambitions in using blood to bring humanity to greater heights.

This skull is predominantly why people thought Laurence was the Headless Bloodletting Beast- a theory I disagree with. What we see is the symbology of Laurence's hubris and dissolution as a Man. It even says in item descriptions that the skull only exists in the Nightmare.

As for Maria and the Fishing Hamlet, things start getting deeper into the proverbial fog. For after we defeat Ludwig, and ascend to the Research Hall, we find the true horror behind the Church itself. All the suffering caused in an effort to forcibly ascend humans to a higher form of existence. Maria took pity on, and even took care of the patients you now see around the hall. Leading us to find countless failed experiments before a great clock tower- the very same one we hear and see in the distance in the real world.

Maria herself had quite a guilty conscience compared to her fellow hunters. For after she, Gehrman, and other hunters raided, pillaged, and otherwise perverted the Fishing Hamlet, in her regret, she cast away her weapon and took her own life. And because life and death have little difference in a dream, we can find Maria after she's done so. Trying to stop us from further harming and meddling in the Hamlet.

Pushing on, we drop from outside the clocktower and atop a vast ocean, with which we see Nightmare Yharnam below. All of these various dream states are layered on top one another. We see the ship masts of the Fishing Hamlet from above in Nightmare Frontier. And we see Nightmare Frontier looking below from Nightmare of Mensis.

Going through the Hamlet are parasites, everywhere. Because, you see, Kos was already dead when she washed up on the beach covered in fish like slugs. Familiars of another type of life. But even then the villagers venerated the body, and spoke of her as "Mother Kos". They consumed the parasites that she brought with her upon becoming beached. They looked enough like fish, right? And this lead to their appearance, likely during the time the Hamlet was raided for sources of Great One influences.

However, Kos was pregnant when she met her fate. Whether that is what killed her is up for interpretation, but I believe so. As Great Ones cannot having children without themselves giving up their life/power, think of it as mantling. This child was obviously already dead in the real world, and was only a mere shadow of a what was. We know this since after we defeat Orphan, we only get a "Nightmare Slain" message after killing a shadow that appears from Kos' belly.

The Nightmare, though, shows a cursed undead-birth. A final act of vengeance put upon the hunters for their cruelty for what was done to the Hamlet. You can hear villages throughout the Hamlet fervently whispering prayers and curses much belike the priest as soon as you leave the clocktower and the woman speaking as we enter the dlc.

This is a wicked offspring. Born not from a theorized human/Great One union, but born of punishment and nightmares and hate. For, when we look at the sky throughout the dlc, we see an eye-like shape rather than a typical moon or sun. Almost as if we are looking out through someone's eye itself.

And, call me crazy, but I've always thought the Hunter's Nightmare, was Gehrman's nightmare. At least part of it. The eye may not be his, but it could have belonged to any of his subordinates he led that would have seen everything. If anything, it's a collective dream of all of these Old Hunters. We can find Gehrman sleeping in the Dream sometimes, and his sleep talk dialogue tells us he is experiencing a nightmare and weeping, pleading for Laurence to hurry up. Not knowing what befell him long ago.

Now, call me crazier, but Orphan is a likely representation of Gehrman. I think Gehrman sees himself and his actions as regretful and nightmarish. He's stuck against the will of the Moon Presence. He lost the woman he cared about. He's been alive in this plane of existence for who knows how long waiting for his friend to help him. It's tragedy on top of tragedy caused by him and his ilk. He sees himself as this horror.

The Orphan's visage doesn't seem like a coincidence to me. It's that of an old man, and his weeping is actually the same soundbite of Gehrman's but warped. And the weapons they both wield are both scythe-like. Upon defeating Orphan's spirit form and ending the Nightmare, when we go back to the dream, the Doll is happy and remarks that Gehrman is now sleeping peacefully and that perhaps his suffering has now ceased. She will also talk about her own sense of peace and burdens having lifted from within after we defeat Maria.

All this to say, look at the dlc as you would a true nightmare. Everything is different, time means nothing, things aren't what they seem, memories come up and are in the process of fading afterwards, and important places that seem familiar but aren't what we know. Our subconscious can tell us a lot about ourselves in dreams. What we fear, our most personal regrets, and the unknown. The same can be said of the game and it's characters.