This is a phrase taken directly from the 1980 dance pop song, "Your Own Private Idaho" by the outrageous party band, the B-52's.

It means "living inside an Idaho potato", or a very small space. Metaphorically, it refers to someone who is not paying attention because he is daydreaming, or under the influence, or otherwise wrapped up within his own very narrow sphere of interest or frame of reference.
Car Driver: Damn! That guy just pulled out in front of me as if I weren't here! We almost crashed!

Passenger: Yeah, he's just yakking away on his cellphone, in his own private Idaho.
by david lincoln brooks March 24, 2006
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