There is one handy explanation for all of the under-explained back-stories and the unresolved plot points in the game: If the entire world and all the events in the game truly are all products of Cyanea's ongoing dream, then all of the loose ends in the story are due to the fact that sometimes dreams just don't make any darn sense.
The woman who loses her boyfriend's love letter and sends Kat to retrieve it no doubt gets some off-screen Laser-Guided Karma after she callously tells Kat to throw the letter away because she's moved on. The woman's main attraction to her new love interest is that he's an up-and-comer in D'nelica's organization; thus, the relationship probably goes sour in the aftermath of D'nelica's Sea Anemone fiasco and subsequent fall from grace.
Why do Kat and Raven eat so much? Two very good reasons. First, they're hobos — they probably go hungry for very long periods. Second, they're superheroes — a line of work which requires a lot of energy.
When Kat first encounters the resistance, they send multiple soldiers after her. But one of them recognizes her (he says "I'm being attacked by Sea Cat," the code name given to Kat when the joined the military in the previous game's DLC). You'd think they'd try to recruit Kat to their side, but instead, they continue to attack her. This makes significantly more sense when you realize they're being led by Yunica — of course they wouldn't want anything to do with Kat!
All the apple imagery in the commercials, music, and the sequel, are all a reference to Isaac Newton and his "Eureka!" Moment concerning how gravity works after he watched an apple fall from a tree.
The Kids in the bus are a rich mine of this. First of there the fact that they seemed to be gone enough for years, enough for their crash to be an Urban Legend, and likely more than enough to cause their parents to think they were dead.
There's also their ultimate fate, they are still on board the ark, sleeping. Now apart from that would had caused them to enter hibernation in the first place, the other part is when and if they will wake up. Unless the ark, Cyanea or some other aspect of the dream keeps them in stasis, these kids would be dead in a few weeks. Then again we are talking about a dream here.
Then there's Raven. If she is Zaza's sister then why does she look older than him now? (Apart from spending time in the city). Also, her brother is asleep along with the other kids on the ark, unaware that Raven is his sister, that's bound to cause her some heartache there.
More humorous than scary, but it counts. If you look closely during the Queen Alua segment, you'll notice that beneath the robes Kat wears, she's still wearing the same stockings and heels as before. She just sort of loses her robes as she falls from the top of the pillar, resulting in her classic outfit. This means she's spent the last two games in her underwear!
