Reddit reviews Lucid Dreaming

Stephen LaBerge touches on this subject in his 1990 book Lucid Dreaming. Here he talks about an experiment where two subjects, one male and one female, tried to orgasm in a lucid dream.
>One significant gender-related difference may be that while Miranda experienced vaginal muscle contractions during lucid dream orgasm, Randy apparently did not experience corresponding pelvic muscle contractions. Randy's failure to actually ejaculate in his dream, in spite of having vividly experienced the sensations of ejaculation, is consistent with my own experience in this regard. Among the nearly nine hundred lucid dream reports in my personal record are about a dozen instances in which I dreamed that I reached orgasm. In all of these cases, the sensation of ejaculation was convincingly vivid, so much so that these lucid dream orgasms were usually followed by false awakenings in which I dreamed that I had in fact had a wet dream. Yet as soon as I awoke in actuality, I always discovered that I was mistaken.

One experiment and an anecdote is hardly scientific though. I'm not sure if anyone has done any further research.

EDIT: Slightly misinterpreted the question. Orgasm: Yes, Ejaculation: Not necessarily