What you describe sounds very much like much of my therapy. For me, this was a type of dissociation, a coping mechanism I had developed in childhood to disconnect from things that were frightening to me. As an adult, it wasn't a particularly healthy coping mechanism, and was particularly a problem in therapy where the topics and discussions where so focused on the most intimate and traumatic aspects of my life.

Your therapist is just getting to know you, and is learning your general affect, your responses to stressors, and will probably address the zoning at eventually. You aren't doing anything wrong, and therapists see this pretty frequently.

If you can bring it up to your therapist, he should be able to help you understand what is happening and work with you on grounding techniques when you and/or he realize it is happening. Over time, I did become better at staying more present, but it takes time to be able to do that.

When my therapist saw this happening, he did a variety of things depending on how bad it was. I remember
1. Him opening or closing the window blinds. I think he was moving in the room to change my focus, and the blind change often was when I was staring at the window (there was a personal story behind this that he knew about me that was associated with this).
2. Sometimes he just called my name and asked me to look at him. It wasn't so much about eye contact as it was in changing my focus.
3. He would stop and have me name concrete objects in the room to get me grounded.
4. He would have me stand up or move to a different chair.
5. Breathing. I tended to hold my breath when I was like that. He worked with me to just get me breathing regularly and deeply.

Sometimes the dissociation was much more severe than that, and the techniques might be more interventional, but most of the time he was very cognizant of my dissociation and careful to keep me as grounded as possible.