Rarely, a person may have a dream in which he receives initiation from God or the Guru into a mantra. In the Mahàbhàrata [in chapters 80 and 81 of the DroNa-Parvan], there is an account of a dream in which Arjuna received instructions from Shiva. Having vowed to slay Jayadratha by sunset the next day, Arjuna was worried about how he could achieve success. When he fell asleep, he had a dream in which Krishna came to him and led him on an aerial journey to the summit of the kailàsa mountain. There, they beheld Shiva and eulogised Him. In response to Arjuna's prayer, the Lord directed them to fetch His bow, pinàka, and His pAshupata-astra from a celestial lake. When they did so, a brahmacàrin emerged from Shiva's side and taught Arjuna how to discharge the pAshupata arrow. The Lord also taught Arjuna the mantra-s for invoking the weapon. Arjuna's memory of the instructions about the use of the pAshupata that he had received much earlier from Shiva was thereby restored. On waking up, he was in a position to invoke with mantra-s and employ the irresistible pAshupata, if needed.
Giiven that there is no difference between dream-state and waking-state, I think that instruction by Guru in dream-state is no different from instruction by Guru in waking-state. This indeed has happened to many great realized souls (Ramana?).
Also subbu gives the wonderful shloka 2-16 from BhagavadGita:
The unreal has no true existence and the Real can never go out of Existence.
The essence of which, was repeated by Shankara when Govindachaya asked him "What is Real?" and also when Shankara was framing the theory of reality.