In my view,I believe Gordon chose "Don Quixote" to use as a metaphor or comparison to people who engage in trying to be more than they truly are.
In essence,fooling themselves into their own made up reality and believing it to be true.
Don Quixote over time has become a symbol for a foolish man or simpleton. In other words,not to bright or worldly.
Hope that helps.
Bye now!:cool;