To paraphrase George Carlin:
It's called Day Dreamin' Davey because you have to be asleep to enjoy it.
Level Select#
At one point during development, a level select menu (along with the ever-so-ambiguous "TOGGLE CHEAT" option) existed in the game, though everything but the text seems to have been removed.
Game Genie code TXNLOUOL will cause the level select menu to appear instead of the main one, although the functionality is no different ("Level 1" starts a new game, "Level 2" continues, and the other options are unselectable).