I have to agree with Dream Catcher NYC here that sleep paralysis is not the same state as a lucid dream. You are automatically lucid when you experience sleep paralysis.
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I think that SP maybe wears off as the dream begins to end.
I often catch myself talking or making an unusual movement as I wake up although I have been told I talk in my sleep regularly, I also used to sleep walk as a child so maybe I just have defective SP.
Would make sense though, after all when the old hag happens peoples minds are awake and aware but the SP has not quite stopped. it could work both ways with it ending slightly too soon before the dream has ended.
Maby next time when you hear or see something and really want to know what it is, you should check it out. I'm no expert, but it looks to me like you fell asleep wondering what the sound was, your mind added some imagination, and there you have a nightmare-ish dream about what the sound could be. Or that or it was the old hag. Or a combination maby?
Just be grateful your experience hasn't come to this, what over 6 billion people on the earth have experienced...http://i27.photobucket.com/albums/c183/rudon/oldhag.gif