I did the same thing; it was just my little girl imagination, imagining myself a princess finding her prince. I didn't really understand what marrying fully was; I knew it was two people who fell in love and promised to spend the rest of their life together. For the longest time I had a crush on a boy in my Sunday School class (kindergarten through 1st grade), and I was always dreaming about fairy-tale instances where he would ride in and sweep me away, and we would overcome some danger together, and get married.
I laughed when I read about some of the little girls who wanted to marry their Dads. (I did this, too.) When girls are really, really little they understand marriage as a promise of being together forever with someone you love. So, of course you would want to marry Daddy! He is your hero, and you love your Daddy, and never want him to leave… it's not a 'romantic' notion, but a sweet, innocent one.
Just keep explaining, as you are doing, but don't worry about it too much. She's a little girl being a little girl. (Just like boys thinking girls are the absolute grossest thing in the entire world!!! Boys being little boys.)
Don't worry. She sounds sweet, and you sound like a good Mom. :-)