The thing about me is that I also daydream when I am calmed and relaxed. I can feel great and I'll just go off in to my own world. I actually do this the most when listening to music. I also do this the most when I'm bored or if there is a lecture in class that does not keep my attention. Usually when I'm anxious, I don't daydream as much, but instead I mostly focus on fear and keep dwelling/worrying about whatever it is that is causing the anxiety.