To live in a utopian world of your own imagination.
The term may have been coined when Idaho and the surrounding states came into U.S. possession. The area was thought as a major growth area, so lifelong dreams could be supported there.
It was used as a song title by the B-52's in 1985. There was also a movie in 1991, loosely based on Shakespeare's play, Henry VIII.
You're living in your own private Idaho.