"Actually, lucid dreaming is a pretty well documented phenomena."

Cortana might look a little (actually a lot) different than usual. A half-finished robot seemed like it'd be easier to pass off as a Halloween costume than a translucent hologram so she's currently inhabiting that body. It's also a good experiment to see how well it works, which is... not very. Her movements are jerky, and her expressions are a little off. It's a splendid 'costume', but probably unnerving for anyone that knows it's not.

"Not that I've ever experienced it." Can she even help with this? Sure, she 'dreams", but she's not sure her dreaming can work this way.