Can there actually be demons taunting you in your dreams?

Yes demons like haunting people through their dreams because it is very easy for them that way. When you sleep you enter another state of life where you don't have control, in this state, your soul remains unprotected from search incidents but you can prevent it too.

When you go to sleep, you should make sure that you recite some protection prayers depending in what you believe in or you can cast a protection spell too.