As long as this isn’t interfering with your work or with your relationships, I see no harm in it. I don’t know if it is “normal”. I don’t even know if it is unusual. I suspect that people who do this don’t talk about it much with others so there is little data about it.
From my point of view, you have a vivid imagination and enjoy your fantasies. People often put their imagination to use. You might consider whether you would enjoy participating in community theater or if you have some talent as a writer.
I wish you well.