What a lovely episode, I was really excited for this one :)
I'm surprised you didn't mention it in the episode, but the name Jeanne d'Ys could definitely be a pun on 'jaundice', providing a yellow connection... and there are certainly similarities between Ys and Carcosa: they're both legendary cities associated with large bodies of water, lost or ruined, with the potential to perhaps return someday.
The story also bears some resemblance to Ambrose Bierce's tale An Inhabitant of Carcosa, which I won't spoil since you're probably going to be covering it. Suffice to say there's a lot of metatextual and intertextual detail anchoring this story in the King in Yellow collection, even if the text alone only seems tangentially or thematically related.
After reading this story, I contend that it is supposed to be a time-travel story, not a dream. The last line indicates that there's physical evidence of Jeanne d"Ys presence:
"But upon the icy slab lay a woman’s glove still warm and fragrant."
Also, there's a reference to Genesis 3:15:
And I will put enmity between you and the woman, and between your offspring and hers; he will crush your head, and you will strike his heel.”
https://biblehub.com/niv/genesis/3.htm
If anyone is looking for a copy to read, here is a link to Wikisource (since it's out of copyright):
https://en.wikisource.org/wiki/The_King_in_Yellow/The_Demoiselle_d%27Ys