I think Diane's line stating that she is in the sheriff's office but it's not her is extremely important here...  It expresses the shared consciousness of the "Dianes."  The quickest jump is to say that Naido's soul, if you will, is the real Diane - but her body is not hers.  This could mean all (Candie, Linda, Naido, Diane) are manufactured pieces of a singular whole that no longer exists in physical human form OR "the dreamer" conceived it and insert any black lodge logic and make up whatever you want...

I also though the "E" was meaningful and didn't consider Sunny Jim as a real name...

I thought their names were just Jim, Doug, And Janey and there was then meaning to

Doug - E, Janey - E, Son -E Jim

I'd also like to add that Candie is part of a trio with Mandie and Sandie. 

M. S. C.

Ms. C?

'Diane' is in each of their names and don't they appear to be (day)dreaming all the time?

I figured the "E" in Janey-E's name was a reference to her maiden name, Evans...which is Diane's last name, I believe.

I believe that Dougie was somehow given to Janney E for safe keeping by Diane. 

Or Janney E is Diane. 

That would explain Cole and Albert commenting on something being wrong with Diane. 

Maybe they saw it wasn't Diane and thought ok... let's see where this goes. 

And Diane being pretty stunned when they bring up Janney E.

And that look that Janney E gives Dougie when he is driving, like whew you are back!

Also if tulpa Diane is gone where is the real Diane? Maybe Vegas baby!

I mean they really don't look alike but... it's my crazy theory and I am sticking to it.  :p

Holy crap, I can't believe all three ended up being Diane.