I've always interpreted that phrase as meaning the "filter" we squeeze experience and reality through. As in speaking of a crazy cat lady, people would say "augh, she's off in her own world." Common expression when speaking of eccentrics and crackpots. To me it just means that someone has surrounded themselves with a certain type of lifestyle. In the movie "Conspiracy Theory" the main character was off in his own world, but that didn't make it a make believe world, he was aware of things most people aren't.
[Reading from a dictionary] "P-O-O-K-A. Pooka. From old Celtic mythology, a fairy spirit in animal form, always very large. The pooka appears here and there, now and then, to this one and that one. A benign but mischievous creature. Very fond of rumpots, crackpots, and how are you, Mr. Wilson?" [Inverts and shakes the dictionary] "How are you, Mr. Wilson?" Who in the encyclopedia wants to know?
_________________
I wake to sleep, and take my waking slow. I feel my fate in what I cannot fear. I learn by going where I have to go. ~Theodore Roethke