To be so deep in thought or daydreaming that you are not aware of someone speaking to you.
Similar to the 'Space Cadet' and 'Away with the fairies', though this one also refers to someone in deep thought as well as someone who is daydreaming.
Comes from the common drawings of deities playing the harp in the clouds.
Person 1: So what do you think Andy? ... Andy?
Person 2: Let him be, can't you see Andy is playing the harp?