I think our brains create a melody/song naturally when sleeping more often than we think simply because our brains tend to need a sort of steady rhythm to attune itself to in order to create an optimal environment for sleeping. It usually is in a tempo relatively complimentary to the Hz our brains are producing waves at in order to promote subconscious well-being. I'm not exactly sure why our brains are sometimes consciously active enough during sleep to remember them after waking up though.

If you've ever wondered why you can lull yourself to sleep with music but you wake up sort of disturbedly to get rid of it anyway, it's because no matter how soft or slow what you are listening to is, your brain is constantly shifting sleep stages when unconscious and as such, the music will always end up off-beat from complementing the wave Hz at some point. Your brain needs a very particular frequency of subconscious 'sound' at different stages of sleep so at some point the music you are listening to will disturb your sleep cycle and you'll wake up feeling bad/disturbed briefly just to get rid of the music because your brain can't handle the external input disrupting the 'sound' it requires for sound subconscious thought during sleep. It can't drown it out with it's own 'music' so you are forced to get rid of it.