An Essential Part of Fantasy is the Self-Consciousness of Being in Story

This is a point that John Clute makes in The Encyclopedia of Fantasy*:

Part of the definition of fantasy is that its protagonists tend to know they are in a Story of some sort, even if at first they do not know which one... It would of course be injudiciously restrictive to claim that all fantasy texts convey a sense that their protagonists are under the control of an already-existing Story, and that sooner or later they come to an awareness of the fact; it is, however, the case that many fantasy texts are clearly and explicitly constructed so as to reveal the controlling presence of an underlying Story, and that the protagonists of many fantasy texts are explicitly aware they are acting out a tale. ("Story", section 2 (p. 901))

Clute gives many examples.  (One famous one is Frodo and Sam's talking, towards the end of The Two Towers, talking about what sort of story they are in, and what it would be like to hear it.)

All of which is a lengthy prologue to why these sentences in Alice's Adventures in Wonderland -- a taproot fantasy text (to use Clute's technical term) as well as foundational children's book -- caught my attention:

`It was much pleasanter at home,' thought poor Alice, `when one wasn't always growing larger and smaller, and being ordered about by mice and rabbits. I almost wish I hadn't gone down that rabbit-hole--and yet--and yet--it's rather curious, you know, this sort of life! I do wonder what can have happened to me! When I used to read fairy-tales, I fancied that kind of thing never happened, and now here I am in the middle of one! There ought to be a book written about me, that there ought! And when I grow up, I'll write one--but I'm grown up now,' she added in a sorrowful tone; `at least there's no room to grow up any more here.' (Chapter 4, "The Rabbit Sends in a Little Bill")

As you were.

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* Which, incidentally, is a brief, marvelous critical book on the nature of fantasy, cut into pieces and distributed alphabetically among a lot of more standard encyclopedic material, making up a lengthy tome.  The critical book is very highly recommended if you haven't read it: start at the "Story" entry and follow cross-references.  The rest is a useful if (by this point) slightly outdated reference.