Sean,
As someone who routinely has visions...no I do not believe you can loose your soul in your dream. There are many different spirits guiding and guarding us while we dream and have vision. I am very good at dream interpretation if you decide to share.
Now, if you have a sense of loss...usually that means can define what you have lost. What it sounds like is that you have allowed yourself to become 'trapped' in whatever it is that you are doing...rather it is a job or a relationship. From your words you recognize that it is only your thoughts that have trapped you...the secret to such a situation is that thoughts are worth no more then words- they are like the wind and can change.
Once again, without knowing the contents of the nightmare or your thoughts...this is the most help I can provide. Best of luck.
~Tal