I've had a similar and rather strange experience:

Twice so far, I would get properly lost in my own thoughts during a lucid dream that I would lose focus of the dreamworld. The dream would rapidly fade but I wouldnt wake up--I'd go to this "void" (I think) that Sibyline talked about. I'd still be in the dream, but there'd simply be nothing there. The moment I'd realize this (quite quickly of course) I would try to get the dream back by re-imagining the dream scene, resulting in "snapping" back into the dreamworld, in the same dream as before, though sometimes in a slightly different location.

It's quite an interesting experience, I think.