Welcome.

Your experiences may be scary, but they are not uncommon. I wish to help you uncover your answeres, if what I say does not hit the mark, feel free to continue the discussion with me.

It's clear you have vivid dreams. First, the 'dreams within dreams' is known as false awakenings. It's the act of waking up in your bed, thinking you just escaped from your dream or nightmare, only to still be dreaming! I've had this happen on numerous occasions, and you can rest assured that this is not caused by any flaw in your mind.

Second, you mentioned your dreams are very real. In dream land, not only can our five senses be perfect without tarnish, but our Amygdala (or that which causes emotion) is no longer restricted like it is when you are awake. In sleep it is very easy to feel perfect euphoria or primal fear.

Third, your condition with sleep paralysis. While it would be helpful for some more details, there are many people who wake up when the paralysis is still active. Some have to literally wait once waking up to be free from it's binding. Naturally, sleep-walkers have the opposite problem. I've had instances where I would wake up in my dream and see the real world, trapped in my own body, and then return to dreaming.

Dreams help keep our axons and brain pathways active and prevent them from detaching during sleep. Dreams commonly use recent memories or deeper feelings. While I do not think dreams are messages (With the exception of divine intervention - be it God or Satan.), I do encourage you to look until you've made your own conclusion.

Hope to hear back from you.