According to the Final Fantasy X Scenario Ultimania, Dream Zanarkand exists near Baaj Temple, but it is inaccessible to Spirans as no one knows of its location besides Sin.

You can read more about Dream Zanarkand on the Final Fantasy Wiki. The article has a lot of interesting points that are not found in the game. It is a shame that they release ideas like this only in those books. This is something that could have been easily mentioned in the game.