The thing is, that even though I have seen the Hat Man in sleep paralysis, I have also seen him (and I am sure of this) in episodic dreams when I was 5 years old? The reason I say this, is the man I saw in my dreams is identical to the Hat Man, but like your beings wore a wizardry witchy type hat? He arrived with an air raid siren and then chased me around the house! He had an accomplice – and the funny thing is, he was bald, grey skinned, tormented wide eyes that stared… and he too chased. Maybe they were the same being? (Strangely I made friends with the bald guy in the dream world after I asked him to stop – he was fine, shook my hand, and I never put eyes on him again – my friend did this also!)
Why wear a hat?
— Mr. Cake