I think that cooler than the Matrix-in-a-Matrix theory would be that they made us think at the beggining of the third movie that Zion isn't real either (taking Neo to that "It's all a lie and I'm powerless" state for the third time), but then reveal that it is real, and that Neo's will is so big that he actually managed to alter reality (being used to alter it all the time in The Matrix and all).
