My experiance with lucidity...

I have lucid dreams almost every night without even triggering them. That is because, it was not until today that I even knew that there was a name for it. I just sort of drift off into my dream and just realize that it is a dream! I think that is because my mind thinks very logically. For example, if I look at my hands during a dream, I notice that they look odd and that I can strech and bend them. From there on I know it is a dream! And, I can also wake from dreams if I want to. To do that I close my eyes, keep them closed for a few seconds, and I wake up. I like doing fantastic things in my dreams that I could not normally experiance. So, what brought me here was my odd experiance with Sleep Paralisys. It was different than most cases. I used the "Closing my Eyes" trick to wake up. But, before I opened my eyes I noticed that i could not move, my body felt like a lead brick. And, I was still dreaming! I was dreaming that I was having Sleep Paraylisis, because in my dream I was asking my friend to wake me up. But, I also felt a concious connection to my body, and felt that I was unable to move. I can do this sometimes. During my dreams I can sort of "seperate" my body from my mind, or just feel my body. So, I guess what happened in that dream was that I was in a REM state, dreaming of SP, and having SP at the same time as being lucid. wow. Could someone clear this up for me?

I think your theory is probably correct, dreaming of being in sleep-paralysis is certainly possible.
On principal, try to do a reality check whenever you wake up to catch cases of false awakening, but in this case you couldn't do the regular reality checks as you couldn't move, however, you could realize this was a false awakening using what you see around you and reasoning. Once you realized it is a false awakening, you could have tried dream control techniques to get out of the false sleep paralysis, which should have been possible because it was not "physical", but only a part of your dream, and therefor susceptible to dream control manipulations.