What I'm putting together is this:
The Odeon-powered blood you got transfused into you puts you into the hunt dream.
This blood connects you to the Great Ones and grants you immortality of sort, a part of their power, insight reinforce that connection and makes you able to see/interact with the crazy shit from the Great Ones world. The Yarhnam real world is still the real world, you just are granted awesome blood power and traveling between planes of reality/dream.
Usually the souls game have at least a bit of an explanation of why you don't really die, and I think Odeon's having divine power over you through blood is a good one for that.
Also, I don't think the Celestial Emissary is an alien. Instead it might actually be what the Healing Church made in order to get in touch with the Great Ones. It's the emissary from us to them. Which also explain how Iosefka got turned into one by the impostor girl.