The Cream of the Jest by James Branch Cabell

There was no continuity in these dreams save that Ettarre was in each of them. A dream would usually begin with some lightheaded topsyturviness, as when Kennaston found himself gazing forlornly down at his remote feet -- having grown so tall that they were yards away from him and he was afraid to stand up -- or lean strangers carefully and gruesomely explained the importance of the task set him by quoting fragments of the multiplication tables, or a mad bull who happened to be the King of Spain was pursuing him through a city of blind people. But presently, as dregs settle a little by a little in a glass of water and leave it clear, his dreamworld would become rational and compliant with familiar natural laws, and Ettarre would be there -- desirable above all other contents of the universe, and not to be touched under penalty of ending all.

Sometimes they would be alone in places which he did not recognize, sometimes they would be living, under the Stuarts or the Valois or the Caesars, or other dynasties long since unkingdomed, human lives whose obligations and imbroglios affected Horvendile and Ettarre to much that half-serious concern with which one follows the action of a romance or a well-acted play; for it was perfectly understood between Horvendile and Ettarre that they were involved in the affairs of a dream.