I really do not find origin to this expression. Apparently ancient and very universal in the Spanish-speaking countries. It refers when someone spends time thinking things that are useless or meaningless. It has been applied a lot when we see someone with an infinite or self-absorbed gaze and to break that state of "lost in thought" we say the phrase: "Are you thinking about the immortality of the crab?"
I think the reason for the prayer is simply to look for some surreal subject, without answer, without logic to make evidence that a person is with his head "On the moon" or he might be thinking of "Pajaritos preñados" (although the latter belongs to a "He is believing in pregnant birds" is equivalent to believing in a fairy tale or something fanciful, impossible).
