I walked into the thieves guild and this stuff started flying around me just like when you capture a dragon soul and after it was done it said dragon soul captured an i had an extra dragon soul when i was inside a building and their was no dragon. Did this happen to anybody else

I think that means a dragon probably died in the city you were in. You probably didn't notice it and went inside and the guards killed it.

Happens when you're close by when a dragon dies...One of the guards in/around/near town might have just finished one off...

Guards are Dragonslayers as well, who knew?