I think Claudia receiving the tax bill was the first she knew of the existence of the apartment. Initially she thought it was the bill for the building she's in - hence her remark that she thought she'd paid it.
Who knows what inspired the nightmare? Perhaps Dani had a cheese sandwich before she went to bed.
I'll agree to the Tax Bill idea, but if that is true, was Claudia then not involved in running the accounts and balances portion of the Harem the year previous. If not, then who was?
I also agree with the cheese sandwich theory.. but might suggest It was a Velveeta, Cheese Wiz or god forbid Spray Cheese sandwich that caused the nightmare. That stuff isn't even real cheese!