I'll just add to Neuro's accurate response:

I think the "old hag" thing was a way of explaining the hypnagogic imagery and sounds experienced during sleep paralysis. You'll find that many people experience different types of "old hags" - some see demons, some see monsters, aliens, you name it. The point is that it usually ends up being a scary figure, probably brought on by the panic from feeling paryilzed.

Now, I think your question is more as to how it's possible that all these people can experience the same characters. Not sure, but, lets say you had your eyes closed and your arm extended. You suddenly feel heat upon your hand. What do you think you would most likely visualize? Fire? Probably, and so would an overwhelming group of people all over the world if doing the same experiment. I think the same might apply to SP.