I wouldn't read too much into the meaning of her words. The dialog is pretty much a direct quote from the same scene at the end of The Wizard of Oz movie (from 1939).
As with the Slurm factory episode (Willy Wonka & the Chocolate Factory, 1971), I would recommend watching the original movie if you're unsure about aspects of the episode that parodies it.
In this case, the characters that Dorothy points out when she wakes up back in Kansas are played by actors who also played different characters that she met in Oz.
Yeah, I get the parody, I've seen Wizard of Oz a million times. I just wanted to point out Leela feeling annoyed by Fry for some reason while she was dreaming.