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In some nights I could see how multiple fragments fit together to form one long dream. There are flowing transitions between; thoughts belonging to one scene can still linger while the next location is already present. I also find it interesting that one common theme can be found in multiple sleep cycles, even if they are separated by WBTB. I even remembered a dream of an early sleep cycle inside a later sleep cycle
I remember when I was focusing a lot on recall, I would notice the same thing. It's like the mind subconsciously follows a vague storyline and you can even refer to previous dreams (even if non-lucid) just as you said. A number of other members have reported something similar - that dreams aren't separate stories but they kind of flow one after the other. Fascinating!