The Raga believe in the Far Shores, the Nords believe in Sovngarde (which, at least, has been definitively proven to exist), and the last rites at Imperial execution commends souls to Aetherius, which the PGE 3rd Edition tells us is the home of the Divines and other Aedra. The only reference to a "dreaming-sleeve" that I can find is in the Mythic Dawn Commentaries, and even that doesn't really suggest a process of reincarnation to me. In fact, the only instances of reincarnation that we do know of come from Shezarr's multiple avatars, and Azura squishing one of her servants' souls into some poor schmuck.
Arkay is the god of death and birth, but nowhere can I find a reference to recycling souls. In fact, in "Ark'ay, the God of Birth and Death", the man who would become Arkay said "There are far more souls in the Universe than there is room for in the physical world. But it is in the physical world that a soul has an opportunity to learn and progress. Without birth, souls would not be able to acquire that experience, and without death there would be no room for birth." This suggests, at least to me, that a soul only gets one shot on Nirn, and after that they go to whatever afterlife their actions in life wrought.
Am I missing something really obvious? I hate to bring up the issue of canon, as it's always a sticky subject 'round these parts, but when the outside material seems to directly contradict what we know in-game, I have to ask.
EDIT: To clarify, I have no problem with the Dreamsleeve-as-wizard-Internet that we see in the obscure texts. I'm merely wondering about the whole cycle of death and rebirth.