As epollock accurately suggests, this is a poem about banality. Formally, the poem is also about word-play and "negative space."
Even in dreams, where so much is possible, the sleepers depicted in the poem are "haunted" by colorless "white nightgowns." We might understand this visual idea to suggest that the dreams themselves are sterile and sheathed in colorless gowns.
Of the figures of sleep, "none are green." For Stevens, in his later poetry, green represents the color of physical reality and white represents a cold, intellectual reflection of reality. Here, however, green stands for the idea of growth and vibrancy. Thus nothing sprouts into being in these dreams for these banal dreamers.
The lack of illusion, even in dreams, illuminates meaning in the poem's title. In addition to the disappointment associated with the term "disillusionment," there is a second meaning relating to a lack of illusion.
The poem also plays with the notion of the "negative," stating what is not present. In doing so and listing the many aspects of colorful dreaming that do not exist, the poem takes on a surface irony. These colorful dreams are part of the poem, despite the fact that none of the dreamers will dream them.
This poetic technique can be related to painting where negative space is an important element in composition. In this way, we see part of Stevens' approach to poetry exemplified.
"[Stevens] eclectic use of techniques and ideas from other arts, as well as both European and American poetry, gives his work a sophistication perhaps unmatched among other American poets of his generation" (eNotes).