This is not my field, but it seems that when people are experiencing a lucid dream, the brain regions that are normally deactivated during sleep seem to show increased activation (e.g. https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3369221/), and maybe that’s what gives people the ability to reflect on their dreams, which is the characteristic of lucid dreaming.
In another study (http://www.jneurosci.org/content/35/3/1082.short?sid=8a2c7219-8014-4553-925d-4cb0b3573024) they seem to have found that lucid dreamers had more grey matter volume (grey matter is the cortex, the surface of the brain) and more activation in a brain region that is just behind the forehead, and which has been implicated in metacognition, thinking about our own thoughts.
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