It's just that you are sentimental when you are depressed, and it's cold and warm outside your dreams at night. This is a lyric poem, expressing the author's inner feelings and ambivalence. Among them, "melancholy" and "cold and warm" are adjectives, indicating that the author's mood is sometimes sad and depressed, and sometimes cold and warm; Unluckily and I had a dream in the middle of the night are descriptions of emotions, indicating that the author's emotions are tangled and uncertain, sometimes he loves and sometimes he doesn't.
It's just that you are sentimental when you are depressed, and it's cold and warm outside your dreams at night. This sentence can also be understood as an artistic expression to express inner feelings.