Wild West Dreamin'

So for the... third? time I've had an episode of sleep paralysis.
The first time was a dream where a demon threatened to kill my daughter and then when I woke up, he was still there in my room.  Then he left to go kill her and it was only after he left that I was able to move.
The second time was also a case of waking dreams; I can't tell you how many times I "woke" up in that dream, but in the last one I ended up staring at a ghost for several minutes until I realized it was actually a curtain and my eyes were open for real.
The third was not quite as scary but for some reason I still didn't get very good sleep.

Last night I dreamed I was still living in Virginia, and my wife and brother and I were in my parents' house.  Everything was going fine until, for some reason, I looked outside and noticed that there was a band of wild west villains hunting house to house.
And at this point my brain did weird things.  I forgot that I had kids, or moved away from Virginia, or had my own house. It was like those memories were behind some sort of wall I couldn't breach.  I suddenly knew that this was Billy the Kid, and that he was after *me* because he thought that grandpa stole his gold, only that this was a misunderstanding and we were innocent.
We had to keep quiet, stay hidden.  This easily would have turned into a nightmare had I stayed asleep.
Instead, as we were hiding, we pulled down the blinds as Billy the Kid came up to them.  I realized I couldn't look away from the blinds to make sure my wife was ok.  I was transfixed.  And then that wall started to vanish.  I realized my eyes were open as I was staring at actual blinds... but at first I couldn't figure out where in the world I was.  It took a good minute before I was able to move and that wall finally vanished. I was staring at the blinds in my room the whole time.

I'm curious as to why I keep having these "waking nightmares" and sleep paralysis.  Thankfully they are rare.