Over the years, I've seen a number of such phenomena. So have a number of relatives and friends (Hey, maybe we're all crazy together
). But almost none of the cases have to do with sleep...almost all my cases have occurred while wide awake and doing things, and I don't recall anyone else talking about their experiences being related to sleep either.
Nor are all alien abduction cases related to sleep paralysis, dreams, or nightmares...nor indeed, to mental illness.
Doesn't mean that the experiences aren't "internal" to the experiencer rather than external, but the origin of the experience may only rarely related to sleep, dreams and sleep paralysis.