My take on this:
Everyone underestimates the power the mind has over the body and also how easy it influences you, It's partly a defence mechanism in my book but also can occasionally be the opposite.
I have had sleep paralysis on occasion, that is enough to convince anyone they are real, it's truly the most terrifying thing when it happens especially the first time, but now I have learnt to accept it when it does happen, after a while I have worked out how to wake up from it.
Second;
On occasion I have had this BIZARRE sensation at night when trying to fall asleep a few times, maybe 4 or 5, it is sensory, I can see it, I can hear it and I can feel it but basically its like a light show with a weird radio like whooshing and phasing sound playing in my head.
Third;
I never really understood mental health and what anxiety was until I met my GF, she genuinely can feel so anxious about something it affects her physical state, i.e if worried about moving, it could (doesn't now) make her sick, everyday, with her not knowing or understanding why, to the point it actually stated to cause a problem and was then all worked out.
For my own experiences, these only really happen in certain circumstances, the main driver is lack of sleep another is I think alcohol but not too much and not too little certainly not to the point where you feel even remotely drunk.
I think the point i'm getting at is, I don't fully trust my senses when tired, because i have experienced how unreliable they can be, and can easily stretch that to imagine some other things happening.
I have noticed that if you start to get that feeling of something being sinister "the dread" or whatever, eventually you will get something happen, a noise, or a sensation, which all plays into the mind over matter theory.