Hypnogogic hallucination

Vivid hallucinations which occur during the onset of sleep (stage one, light sleep).  Often the hallucination is experienced as a seamless continuation of the sleeper's last waking sensory impressions. The term was first used by French sleep theorist Alfred Maury in 1848. 

Sources:

Lavie, The Enchanted World of Sleep 

Maury, Sleep and Dreams