The events depicted in the "Crows", "Mount Fuji In Red", and "The Weeping Demon" are not three separate stories, but one continuous story.
The protagonist of all three dreams is played by the same man. If they are dreams, then this indicates a single dreamer.
After the conversation with Van Gogh, he leaves the museum... Ending "Crows" and starting "Mount Fuji In Red", which takes place in the street, as radiation spills forth, killing everyone. Afterwards, he film moves on to "The Weeping Demon", where the oni in question describes to the dreamer character the sins that condemned him... The demon was once a man, but his life has long since ended, so it's not unlikely that our protagonist, too, is deceased. Note, also, the crows: aside from their specific meaning where Van Gogh is concerned, they can also be considered, as crows often are, connected to the theme of death.