Hmm... we could call them something like 'hypnagogic thoughts.' The phrase doesn't seem to quite fit. I know what you mean, though. It's weird, because most of my hypnagogic sensation seem to be external-- lights, noises, sensations-- but these thoughts obviously come from inside my own head.

I've been sleep-deprived to the point where I noticed myself having these thoughts while going about my day. It was a bit frightening. I think soon after this stage I hit my head on a bathroom cupboard and walked into a wall. (Sleep deprivation is not a fun game, guys. Ech.)