Despite having no real plot or structure, Yume Nikki does in fact have an ending scene.
The mere existence of the ending is only alluded to in-game, with the cryptic Instructions saying the player can "get rid of the "Effects" in the Room of Doors", although there is no indication of what the purpose of this is.
At first, the simple act of dropping all the effects in the Nexus appears to have no result, and there is no indication that anything has changed. Only when the player ventures out onto the balcony in the real world does the nature of the ending become apparent.
The Ending Sequence
After collecting all 24 proper effects in the game, Madotsuki must return to the Nexus. The player must then drop every last one of her effects in the Nexus room (done by equipping them and pressing the '5' key). If an effect has been dropped, an egg will appear behind Madotsuki. Interacting with the egg will give Madotsuki the effect it holds. If all of the effects are dropped and the Nexus is reentered after going into a different room, the effect eggs will be arranged in a pattern.
Madotsuki must then leave the dream world by pinching herself awake. Upon going to the real-world room's balcony, a set of stairs has appeared, leading over the railing.
Madotsuki climbs the stairs and, upon pressing the 'interact' button, she jumps off the side of the balcony and plummets downward, causing the screen to fade to black.
A heavy, echoing thud breaks the silence, and a pool of blood fades into view. Two Jellyfish from her dream world approach from different directions and surround the red smear as the credits appear, and the mournful ending theme begins to play. By pressing the '1' key, the lower Jellyfish produces a low chime noise. When the '3' key is pressed, the upper Jellyfish produces a high chime noise. When the 'interact' key is pressed again, the screen will slowly fade to black and the player will return to the title screen.
- It is speculated that the Falling Men could, in fact, be foreshadowing the ending. Another instance of foreshadowing is the fact that a pair of shoes can be seen on the balcony since the start of the game since it is customary in Japan to take your shoes off when entering a home (as well as the afterlife).
- Interestingly, the same pool of blood can be found in various dream worlds in the game. It appears in front of the Severed Blue Head in Eyeball World and by the Mouth Monsters in Mural World and Underground World, though this could just be reusing assets.
- The game's ending music has been speculated by some fans to sound like an ambulance, coming to Madotsuki's dead body.
Some fans have theorized that the real world is actually another layer of the many dream worlds in the game. This could explain why Madotsuki's eyes are always closed, how the set of stairs suddenly appeared on the balcony, and why the Jellyfish appear. This would also explain the strange living situation that Madotsuki finds herself in, as she is shown to have no food, water, or bathroom in her room, though these things could easily be ignored if the "real world" she is in was simply a dream. The manga supports this by having Masada tell her that the only way to wake up for real is to kill herself (see below), although this was not made by KIKIYAMA and the manga is an interpretation of the game's events rather than an explanation.
The ending can also be interpreted as a "reawakening" of sorts. Considering the many themes in the game such as death, anxiety, and identity, it's possible that the ending could be interpreted as Madotsuki leaving behind a past self or mindset in favor of a positive one, thus this old mindset symbolically "dies" in the ending.
The Jellyfish could be seen as a sign that even in death, Madotsuki won't escape her nightmares. The Jellyfish, while in the dream world, are also found near Shitai-san, which may show that the Jellyfish are able to sense when or where death occurs. As they are capable of appearing in the dream world and the real world, it's possible they are beings with the ability to traverse both of these planes and are sometimes interpreted as reaper- or god-like characters by the fanbase. It's possible that they are such beings, guiding Madotsuki into the afterlife. They could also be interpreted as humans in the real world spectating what happened to her, appearing as monsters.