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Epileptic Trees: At the very beginning of the manga we see a young Yumeji leading a girl his age through a nightmarish-looking place, telling her that he'll definitely find a way back home. They then reach a door but all we see after Yumeji opens it is his shocked expression. The girl he was leading had the exact same hairstyle, clothes, and hat as Merry, though we can't see her ears or eyes. Isana also mentioned that she felt as if she knew Merry before in the manga. Finally, there's a spread in the fourth volume that has human characters on one side, dream demons on the other. Merry's on both, and she has human eyes and ears on the human side.
Fridge Logic: So the Dream Demons under Hercules want to take over the world by possessing all the humans. However, because it's impossible to take over a host full time, that plan can't really work. John actually calls this out and wonders if there's something more to Hercules' game.
Magnificent Bastard: He's clearly scheming something much more well thought-out than just supplanting the humans.
He wants to create a world where Dream Demons can physically exist without vessels.
NightmareFuel: It's a series about dreams, so this is natch.
Villain Sue: anime-only Big Bad Mistilteinn Treesea, arguably. John Doe says that even Heracles (the real Big Bad of the series) recognizes her power, she is almost invincible and has no real motivation for what she does.
The Woobie: Lost in a world she knows she doesn't belong with, no memories of her home and no way to get back... yeah, Merry qualifies.
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