Mucking With What's "Real"

I know there's no concrete answer to how I should approach this, but I'm asking anyway.

The main plot of a story I'm working on involves the main character coming to terms that he's not real. With this already in the open, I thought I might take it further. Imply that perhaps the woman he's traveling with (a sentient idea like the protagonist) is just in his head. Perhaps the figment is imaging another figment. Or perhaps she's imagining him. Stuff like that, that mskes the reader suspicious of the reality of the story.

I really want the reader to understand what's going on, but at the same time question it. I don't want to give them any solid answers, just delightful questions. But I need to do this without making the work incomprehensible.

Try provoking the reader with the question of the butterfly. Perhaps you can also take a look at HERO, a webcomic said to be set in the world of dreams.

"Not real" in what sense?

See: Solaris, Last Action Hero, Fight Club, et al.