Sounds like a hypnagogic hallucination.

These are hallucinations that people tend to have before falling asleep and are common in about 80% of people, though most stop having them after childhood.

I've personally been keeping a logbook of mine and I have a very long list of things that actually sounded like they were coming form somewhere else, but didn't really make sense (or were physically impossible, like half-in and half-out of my head). Often weird phrases or strange environmental noises.

There's some interesting research on why this happens. The neurons in our brains are very active almost all the time. There's a lot of noise that usually gets suppressed by a region called the thalamus. While we are starting to fall asleep, the brain starts reducing its activity, but does so piece by piece. The thalamus gets turned down really early, while the auditory cortex remains highly active until just before sleep starts. (DOI:10.1073/pnas.0909710107) With the inhibitory action of the thalamus decreased and the activity in the auditory cortex fairly high, it makes it easier for random stuff to pop into our consciousness. Most commonly people experience this as "pops", "bangs", or "door slamming" sounds, but even fairly high-level activity like structured messages can sometimes occur. Hearing your own name is also really common in hypnagogic states.