I've felt this kind of thing happen before. I think it is some odd transitory state where you are visualizing something and start to fall asleep and it becomes the dream. You begin to lose control, the characters begin acting on their own and the visualization begins to go in its own direction. In a sense, it is both a lucid dream and a visualization.

The problem is, I don't remember many specific examples of when. I know that this has happened to me a lot, but for some reason, it seems as though I am wired to forget them. I do remember; albeit vaugely a time when I was heavily involved in writing a comic strip. I had woken up in the early morning (6:00ish) and began fantasizing about how the comic's story was going to proceed. I began to doze back off and the characters (just like you described) began acting on their own and taking the story in their own direction. I slipped off into a non-lucid dream.