"Theorem A" in this paper by Y. Gordon: http://www.math.uiuc.edu/~mjunge/Comps/Gordonm.pdf is a comparison inequality for Gaussian processes:

Is there an analogue of this result for subgaussian processes? By "analogous" I mean to have the process $X_{ij}$ subgaussian with bounded subgaussian norm, and the same conclusion up to constant factors.

That is, something that would recover Talagrand's comparison inequality for $n=1$ (Corollary 8.5.3 in http://www-personal.umich.edu/~romanv/teaching/2015-16/626/HDP-book.pdf).