Sexual fantasies often occur during sexual activity. For instance, in the Kinsey research, it was found that 64 percent of women and 89 percent of men had sexual fantasies during masturbation. People who fantasize during masturbation may also fantasize during sexual activity with a partner. Even the people who do not masturbate or who do not have sexual fantasies when masturbating, still might have fantasies when they are with a partner. And by the way, your choice of fantasies is not at all unusual.
Fantasies related to different geographic locations are quite common, as well.
If you usually make love in your bedroom, you may be excited by the thought of being on the beach at night with your partner, or in some other romantic location. For some people, even more excitement may be added by he possibility of discovery by others, such as the fantasy of making love on the steps of the Capitol. Some people find that fantasies work best when they stay inside their own head. Others want to try some of them out, and may find satisfaction with that. This is an individual decision, as well as a couple's, best discussed with your partner.