I get the same thing. I'll be falling asleep, slowly crawling towards the border, and I sort of slip into these weird worlds of thought. Sometimes they involve images, often just trains of thought, and if at any point I become aware of these thoughts, they completely vanish without a trace. I'll know I was just thinking something, and I'll know that it was weird and 'nonsensical', but I can never remember what it was even slightly. Very strange feeling.