Do you remember anything before you lost consciousness? Any feelings/sensations that may hint you were just in SP? If not then it was probably just a dream and even a lucid one at that, but a mild lucid nightmare. You can still have nightmares even while lucid though they are quite rare and a lot of people never have them. It's basically a normal nightmare only you know that you're dreaming, but you can't control anything and it leads to a somewhat frightening experience. When you kept telling yourself you were dreaming did you really believe it? Did you truly believe that fact that you were in a dream? There's a possibility that you were just unconsciously saying "I'm dreaming" just because of the fear of what was going on.

Also keep in mind that you did not have 0 dreams for the rest of the night, you just forgot them. You're dreaming for a large portion of sleep and it's mainly in the latter half which is when you described not having any. You did have some you just can't remember them.