interesting thought, but I firmly believe its the real world because if it weren't, Neo would probably be able to bend it or see Matix code. He can however communicate/destroy sentinels in the real world...and is somehow conected to the Machine city and can see light when blinded...but I think that's just apart of his extention as the one. Like the Oracle said, the one's power goes beyond this world.

A lot of the people from Zion don't have "holes" so there is not way they could be from the matrix. However could it be a program, maybe, highly doubtful though.