Not to be antagonistic but I highly doubt that you subconsciously thought you were still playing. It just seems like to jarring of a difference sitting in front of a TV or monitor to walking outside with your dog to be believable. That being said I'm not a psychologist so I can't say for sure.
The confusion can be quite real. It's happened to me twice before. The first was after several hours playing Half-Life. I walked into my bathroom, saw the shadows cast by the little night light and started thinking, "hmm, somebody really cranked up the compiler precision on this map." Then I realized I was in my bathroom!
The second time was during my initial Oblivion addition. I did most of my playing on a fairly underpowered computer, since the good one was my borther's. Grass caused horrible lag and I usually kept it turned down or right off. So one day my friend asks me to come over. I walked to her place and on the way there was an empty lot full of tall grass. When I walked through it I got really excited and confused because the grass wasn't causing my vision to lag.
I find myself dreaming about Skyrim a lot. Im a very lucid dreamer and tend to have "out of body experiences" with dreams. So when you lucid dream you can control what is happening, its amazing what you can do with your sub-conscience.
Not all lucid dreams are controllable. Mine usually aren't. Oddly, my TES dreams usually aren't lucid. They do often involve subways, though. I've never figured out why. They also involve a confusion between playing a game on my PC and walking around inside it.