I can't say if it's healthy or not, but I honestly relate to it. I don't know if I'm exactly the same as you, but I often imagine myself being friends with characters I really like. Often, I daydream that I'm in their world but sometimes they can be in mine. I imagine how they might react to things I'm doing, or their reaction if they are watching a movie with me. Yes, I think it is a way to fill a lonely void. I have a hard time connecting with people, at least these days, and I friends, or any meaningful interaction is in short supply apart from two very good friends who aren't even on this continent...so I can talk to them every day but can't be with them.

Ok, so that turned into a bit of a tangent, but I do more or less understand what you are talking about. I also understand about not always wanting it to happen.

So, I guess my point is, you're not alone.

i would say it might be d.i.d but that is from trauma and it seems you are doing this willingly. i think it might be daydreaming.