It's all about Sex:
Obviously, the subject of her daydream: heterosexual American fantasy
Where she is daydreaming: in bed, locale of sleep and sexual activity
Note the surrounding colors: the room is done in bright pure white, compared to the dark austerity of most sets.
Color also emphasizes femininity: white ... hope, goodness, purity ... characteristics associated with femininity. This contrasts with the dark austere settings of most episodes and seperates her environment even further from the imagined Mulder
Softness: soft ripples of the sheets; soft focus photography technique - like a soap opera
Even the title: "Daydream" connotes an innocent, ladylike fantasy, not hard-core porn