The name planet of Dreams was given to the planet Neptune because of mainly its colour. The name Neptune was given to the planet after the name of a Roman god that means the god of water and since the colour of Neptune is very much similar to water hence it was named planet of Dreams.
As the depth of water is imaginary and we cannot know how deep it can be from above the water and so is with dreams one cannot know the depth of it hence the name given planet of Dreams.