It must have to do with something you told him in relation to that topic. From what you say it would seem more like escape into fantasy world.

When you assume your own world what characters are their? Like are their angels and stuff like that? Maybe he thought you were saying you experienced supernatural phenomenon when really you are only fantasizing. I would ask him about it at next appointment.

Your prescriptions are
Anti Depressant - Prozaz
Anti Anxiety - Clonazepam
Atypical Anti psychotic - Olaziapine

I am guessing that because of the atypical anti psychotic he thinks you are having delusions. Like seeing things that are not there. That would be different than escaping into a fantasy world I would think. Something you should clarify with him.