I've got half a shelf of Folklore dictionaries, and give any info on John O' Dreams except the Hamlet speech.

My guess would be that Shakespeare coined the name himself. He had a habit of creating portmanteau terms like that, and it's pretty clear from the context what he meant. Shakespeare's audience would have grasped that John O'Dreams was a fellow with his head in the clouds even if they'd never heard the name before, I think.