I definitely think in English. Even when I remember things in like, picture form, I commentate them in English in my head. It's quite annoying really. I commentate everything in my head :/ I think it helps me to fully absorb things that are happening. Like you know they say the best way to learn something is to explain it to someone else because then you're processing it in your head as you teach it. I think the reason I kind of have a commentary going along to everything that happens is so that this can happen, so I can process it properly. But yes, it's all in English.
I'm semi-fluent in French (My spoken French is quite good enough to get by in France but my grammar is appalling) and after two hours of French lesson in one go I will often catch myself commentating in my head in broken French. Like it will be my normal English commentary but the odd word or phrase will be in French.
At first I was like "This is the crappiest thread ever" but now I've thought it through, it's interesting. Kudos OP.