"you're having a dream yes yes"--Bulgakov plays with Russian grammar here in a way that is untranslatable. "To dream of someone" in Russian is expressed with the verb "snit'sia" with the person dreamed of as the subject and the person dreaming in the dative. This verb almost always appears in the third person, since one rarely talks about oneself being seen in someone else's dream. But that's what Margarita does: "I am being seen by you in a dream." The boy responds with an even more unlikely form, the imperative: "be dreamed of by me, be dreamed of by me!"
Claudine--Claudine, Countess of Tournon was Marguerite de Valois's lady-in-waiting.
Guessard's bloody wedding--the drunk fat man is indeed confused: Guessard was the Parisian editor of Marguerite de Valois's correspondence, but he lived in the 19th century. And the bloody wedding is the St. Bartholemew's Day Massacre, which began with Marguerite's wedding to Henri de Navarre in 1572.
diaphanous mermaids--these are specifically Russian rusalki. Rusalki were connected with the world of the dead, usually women who died before marriage. Often they appeared from trees or out of water. Sometimes they splashed in water or danced.
someone goat-legged--probably a remnant of the connection between witches and pagan Pan festivals. Wood demons and devils were often portrayed as part animal, especially below the waist, with the connotations of sexuality associated with goats. Andrei Bely's Northern Symphony includes a goat-legged man at the scene of the witches' sabbath. (S 530)