Yep, that's the common reaction. Do you also feel like there is a presence in the room with you? Many experience that as well, or see shadow creature(s). This is likely what caused early documenters of the phenomenon to believe that a demon or succubus wax visiting (being watch/not alone) sitting on their chest (restricted breathing/unable to cry out) and holding them down (unable to move).
Really, it's just that you've become partially aware of the transition from wakefulness to sleep, during which the body is more or less "offline" for a few moments while the brain shifts gears.
No feeling of presence at all. Only fear, lost in-between worlds. Probably a mix of real world input and whatever I was dreaming.
For example I might somehow open my eyes a bit and see a faint superposition of the room atop of my current dream. But I still cannot make sense of it and I am in total panic.
Sound also doesn't make much sense, the sound of rain feels totally unknown and unrecognizable until I wakeup.
I just wish I could recognize what is happening and just wait calmy until the body finally wakes up.
Really, it's just that you've become partially aware of the transition from wakefulness to sleep, during which the body is more or less "offline" for a few moments while the brain shifts gears.