It’s possible to be used in that context, same way OP is saying that he feels nostalgic for something that didn’t happened. Saudades is a feeling of nostalgia. So if someone was asking the exact same question in Portuguese he would ask something among the lines of “what’s the name for saudades of something that happened in a dream”
But now we’re stuck where we were before, it’s no different from nostalgia or longing in that regard where it’s not implied that it’s something that didn’t happen, which I think is what OP wants.
It’s possible to be used in that context, same way OP is saying that he feels nostalgic for something that didn’t happened. Saudades is a feeling of nostalgia. So if someone was asking the exact same question in Portuguese he would ask something among the lines of “what’s the name for saudades of something that happened in a dream”
But now we’re stuck where we were before, it’s no different from nostalgia or longing in that regard where it’s not implied that it’s something that didn’t happen, which I think is what OP wants.