This happened to me just last night. I normally close my eyes immediately after I take my last hit and start to feel the effects, but this time was different. I changed the way I smoked, exhaling all the air in my lungs and taking one long, slow toke instead of two to four short ones. I broke through so hard and fast I didn't have time to close my eyes, and I lay there for a while wondering how the heck I got inside this room with the weird morphing alien robot thing dancing and spraying light glyphs on the walls. Then a little nagging thought crept into my head, something like "You wanted to close your eyelids," and I doubted I even could close my eyelids. After a little while I realized I was on DMT, and that I could indeed close my eyelids, which transported me to some strange train with bizarre plastic statues full of disintegrating colored sand structures.
I think both open and closed eyes presented me with a completely believable alternate reality, and the act of closing the eyelids just switched from one to the other. The problem was, I really didn't have control to do so until a bit into the experience, nor the realization that they were open or closed.