The title refers to the ancient art of shadow play or shadow puppetry using opaque figures that cast shadows on clear curtains. Such entertainment is known in countries throughout the world and is presented in theaters and by traveling troupes.
This "Shadow Play" episode was remade and aired as a segment of the 1985-1989 series of Twilight Zone on April 4, 1986. The remake holds closely to the plot of the original episode in which a man on death row claims that he's having a recurring dream and that, when he's executed ending the dream, all the people in his dream world will cease to exist.
The song that Coley plays on the harmonica is "Red River Valley".