The story
Coined by psychiatrist Frederik Willem van Eeden in his paper A Study of Dreams (1913). It is possible that he coined this as a calque of "rêve lucide", which appears in Les Rêves et les Moyens de les Diriger; Observations Pratiques (1867) by Marquis d'Hervey de Saint-Denys.
Etymology from Wiktionary, CC BY-SA 4.0.