The entity possessing the Event Horizon has the power to revive the dead (in Weir's case) and warp reality. When Miller blew up the ship as it entered the portal, who is to say that the entity couldn't reconstruct the ship and revive Miller, Weir, and the others, to torment for eternity?
For starters, Miller did not blow up the ship. He blew up the connecting tunnel. The drive section and forward lifeboat were intact, which was precisely the point. Miller and Weir may have survived that.
The lifeboat section? Still part of the Event Horizon, cut off from the core or not. With people in stasis aboard to play with, even if getting them to hurt themselves is not immediately an option... No wonder their nightmares. And, possibly, it acting like the good little liferaft until rescuers come aboard, too.