While it's arguably possible, I would have to say that this isn't the case. Now, there are some instances where we react as if we are actually lucid, and those experiences can be very confusing, when it comes to differentiating them from an actual lucid dream. But, when you're lucid, the major difference is that you are conscious. You can tell you are conscious. You can tell when the dream starts to fade. Sometimes you start to wonder what time it is, and whether or not you're going to be late for work. Your entire demeanor can change, with the knowledge that you are dreaming.

You have to remember that there are many of us who began lucid dreaming before knowing what lucid dreaming is. We didn't rely on reality checks or auto-suggestion. We didn't "set in our mind that we are going to have a lucid dream tonight." Basically, we were (and still are, at times) just dreaming (or in my case, having a nightmare), realize that it's just a dream, and usually try to wake ourselves up from it. Many people have had these types of lucids - you've probably had them yourself, at some point in your life.

Another clue is how fragile lucidity is. If you allow your mind to wander from the knowledge that you're dreaming, you will usually just slip back into a normal dream state. Also, WILDS. People can shift from waking world consciousness to dream consciousness, fluidly. There is no break in awareness - which comes with falling asleep first, and then starting to dream regularly, before realizing you are dreaming.

Lucid dreaming has been well-documented, both in scientific and spiritual circles. There are "false" lucid dreams out there (though I hate calling them that. They are simply non-lucid dreams), but the consciousness we feel inside of a full-blown lucid dream is just as real as the consciousness you're feeling right now, when you're reading this thread.