EWTN Catholic Q&A
Question from Wilson on 06-15-2017:

What could these 'dreams' imply for a Catholic living the Sacraments (Reconciliation and daily Mass), struggling against frequent occasions of venial sin (failing most of the time)? Calling aloud the name of Jesus during sleep without being aware of doing so. For more than a year this is recurring, fortnightly or monthly. Calls such as (any combination of these at a time), "my Jesus, O my Jesus," "my Lord and my God," "O my Jesus have mercy on me," "O my Jesus help me," "O my Jesus hear me," "O my Jesus, always in my heart." The calls sometimes sound like in fright and sometimes like adoring or praying. Should I be worried?

Answer by David Gregson on 12-19-2017:

These prayers uttered in sleep may accord with what St Paul enjoins in 1 Thessalonians 5:17, to "pray constantly." A heart constantly in communion with the Sacred Heart of Jesus may express itself in this way, even in sleep. But in case these prayers are an expression of some anxiety, you should note the verse which precedes, "Rejoice always" (1 Thess 5:16). To rejoice in Our Savior is to acknowledge His faithfulness, that He will never let his "little ones" go. I would spend time in waking prayer, telling the Lord that you trust Him and would never willingly part from Him. I'm sure He will give you reassurance.