Do I daydream or is it something else?

I have a lot of moments where I realize I am slipping into a daydream but I can't really fight it cause it feels nice. But the thing is sometimes when this happens my body will go on "autopilot" and I have conversation or rather will be asked questions and then I end up giving answers... but when I come back I have no idea that I have even been asked a question... this mainly happens when my anxiety is running high and I'm close to having a panic attack or full blown melt down..