My sister said she have dreams that she is lost when she get depressed is that normal?

Normal: Dreams are just dreams. Some analyze the content, I have found doing so to not be helpful. If the dreams persist, check with the doctor. Sometimes dreams change as side effects to medications.

Dreams: If not interfering with sleep or daily functioning, yes.

Depression dreams: It is not "normal" to be depressed, but each person experiences depression a little differently. Dreams are one way in which the state of depression can express itself. Your sister's form seems to include feelings of being "lost." when i treat people, i find their dreams to be extremely useful -- and that they change as recovery proceeds. Your sister's dreams can be personal signals too.