I have had a sleep paralysis experience myself; it is difficult to remember the exact details, as after all it was most likely a state halfway between waking and sleeping- but I saw an alien in the corner of my room who looked almost exactly like this fellow-
http://www.bbc.co.uk/cult/st/gallery...0/tosbalok.jpg
I had recently seen a documentary about sleep paralysis so I kind of realised what was happening; unfortunately it faded away immediately. But perhaps someone else might have thought that they had been the subject of a failed abduction.
I think there is a good case to be made that the image of the alien which people imagine that they see in cases like this is very much influenced by popular culture; the image above was repeated every week on television around the world as part of the end credits of a very popular show, so may have diffused into the collective subconscious gradually over time. Certainly the grey alien image becomes popular in the early sixties; before that time aliens came in a variety of shapes and sizes.
The image of a humanoid alien with a large head seems to be tracable back through popular fiction (the
Mekon, the aliens in
this Island Earth, the alien in
Invaders from Mars) right back to H.G. Wells, who used the image in his book
First Men in the Moon.
Wells was probably plagiarising himself in that book; he first used the image of a big headed humanoid in a book about the distant future of humanity (
Of a Book Unwritten, The Man of the Year Million, 1892); when you think about it, this large headed being is a reasonable extrapolation of the evolution of the human form into the far future, but it is not particularly realistic as an extraterrestrial being.