Let's review what happened to Neo up to that point:
He was told by Trinity to "follow the white rabbit". Moments later, Dujour and her boyfriend knock on Neo's door and invite him to a nightclub; Neo agrees to go with them after he sees her white rabbit tattoo (i.e. he follows the white rabbit). At the nightclub, he meets Trinity, who starts to explain to him part of what the Matrix is. Later, Neo meets Morpheus, who also tells him
I imagine, right now, you must be feeling a bit like Alice, tumbling down the rabbit hole?
It's difficult to square your interpretation with all these events. Your interpretation has the following problems:
- How could Neo possibly be "tumbling down the rabbit hole [into Wonderland]" if the Matrix is Wonderland? Neo has lived in the Matrix his entire life, so he can't be just now tumbling down the rabbit hole.
- Morpheus' question to Neo (about feeling like he's tumbling down the rabbit hole), combined with what has previously happened to Neo, makes it clear that he views Neo as having entered Wonderland as soon as he followed Dujour.
- Neo's existence in the Matrix is portrayed as bleak and boring, hardly an adventure like going to Wonderland.
- The Matrix as Wonderland also makes no sense given that Morpheus has called it a "prison for your mind".
Furthermore, your interpretation of Neo's bed as his real-world cocoon makes no sense, as Neo doesn't know about his cocoon yet -- the only bed Neo has ever known is his bed in the Matrix. As pointed out by another answer, the last time Neo woke up in his bed was after being bugged by the Agents, and he was still unaware of what the Matrix is -- so waking up in that bed means believing in whatever he wants to believe.
The only thing that really supports your interpretation is Morpheus' line that taking the red pill means "you stay in Wonderland" -- since Neo is in the Matrix, that would seem to imply that the Matrix is Wonderland. But as I noted above, Morpheus views Neo's journey after "following the white rabbit" (Dujour) as Wonderland, not that the Matrix itself is Wonderland.
Morpheus wasn't being deceitful or cryptic. The analogy makes sense when considering all the events that happened to Neo by that point, and considering what else Morpheus says.