Arguably, the very nature of both the story, and the question you've posed, is going to be deeply subjective, but here's my attempt to answer the question with as little subjectivity as possible, at least :-)
"The Cage" is a product of 1960s television. Now, mind you, 1960s science fiction was not above blowing its audiences mind with something really wild, like the notion that the entire episode they just watched was an illusion, or even leaving open to question which parts were and which weren't.
But, by and large, 1960s television didn't do this. In fact, even as presented, even taken entirely at face value, "The Cage" was considered "too cerebral" by the executives, which is why there was a second pilot, and why the actual series only really delves into issues quite this hairy once -- when it reuses the footage in "The Menagerie".
From that standpoint, I think we can assume with some safety that certain things were real:
- SS Columbia existed, and crashed on Talos IV -- possibly by accident or possibly by machinations of the Talosians.
- The story Vina told at the end of the story, when we see her as she really is, can be taken at face-value: she survived, broken, and was put back together a little scrambled. She's a bitter, broken woman who has spent years living as a zoo specimen for her "saviours", and yet cannot bear the thought of actually abandoning them, and the illusion of youth and health that makes her life bearable.
- USS Enterprise picked up Columbia's "distress signal". I think we can safely assume that the initial distress signal, which was just a radio-wave beacon, was actually legitimate.
- Enterprise followed the signal and visited Talos IV, complete with landing party and the kidnapping of Pike. Once we understand the Talosians motives, all of this makes sense to assume really happened, IMO.
- That Pike was put through those trials was real. The trials themselves, of course, were illusory.
- Pike, Number One and Yeoman Colt were permitted to depart in safety; Vina chose to stay behind of her own free will, not because she thinks an illusory life is better, per se, but because her own life, with the illusions stripped away, would be unbearable given her physical condition (leave aside speculation as to whether Federation science could have "fixed" that).
That said, I think there is some room for interpreting other things as either real or illusory:
- The follow-up distress message saying there were survivors may have been illusory, but may also have been real, since there may have been survivors immediately after the crash who didn't live long after.
- While the "survivors" themselves were illusory, they may have been based on the visages of the actual survivors. There may even have been an encampment, short-lived, after the crash, but presumably not for very long, since Vina was under the impression they had all died near the beginning. Of course, this also leaves open the question whether they died in the crash, or were killed as unsuitable.
- The transport of only the women from the rescue party to the surface may have been the result of Talosian tampering with the minds of the transporter chief; or may have been the result of them tampering with the transporter itself! While much of the focus of the story is on the Talosian power of illusion, they clearly have other technologies available to them.
In my opinion, a more interesting question is this: in "The Menagerie" -- the framed-story reuse of "The Cage"'s footage -- at what point in the story is Commodore Mendez real? Is it possible that Kirk never actually spoke with Mendez on the Starbase?
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