What are you experiencing is known as a "waking hallucination" and is really nothing to worry about. Many people encounter bizarre imagery even after exiting a period of REM sleep. The brain simply hasn't caught up with the notion that it is, in fact, awake.

It could also be that you have a very mild case of narcolepsy. You could actually be returning to a state of near-unconsciousness and be unaware that you are doing so. Have you ever been diagnosed with this disorder? Honestly, if it is only happening when you first awaken, I wouldn't give it a second thought. However, if it still worries you, don't hesitate to go and have a polysomnogram and a multiple sleep latency test performed.