For example, my friend and I are listening to some guy just
blabber on and on about his own little world. We look at each other
puzzled and I say, "Well, to each his zone." Simply due to sounding the same, this has been altered by some to "
To each his own".
Similar to the idea of someone's "own little world". I could just as easily say, "Man, he just lives in his own little world." It would have the same meaning.