Yup, used to get night terrors/sleep paralysis all the time. Sometimes I would indeed feel like I had temporary amnesia, forgetting very basic things like how I got where I was if I had fallen asleep somewhere other than my bed, if I was alone in the house or not, names, etc. It's likely just a symptom of your brain being incredibly confused and panicked by the situation, partly asleep and not being able to work properly.

Anyways, I wouldn't worry about it or read much into it. The brain can do some truly weird things when it comes to sleep paralysis and other sleep disorders. Please don't listen to the people trying to tell you it's some evil spirit and you need your spirit guide yadayada, those people simply are uneducated about sleep paralysis and the power of the mind and interpreting things through their own religious world view. Starting to believe in nonsense like that will only make your symptoms and the fear you feel during it worse, trust me.

When you get sleep paralysis try your best not to panic and don't try to force your whole body out of it, it's usually more productive to focus on trying to wiggle your toes or feet, it's a pretty effective and well known method to break free of it.

It is something else and it's called 'false awakening' . It means you were actually asleep and you could try to take advantage of this kind of experience in the future and make it positive instead of scary.
Every time i get the sense of something not quite 'normal' and scary i try to fly and every time it turns out i can fly - hence dreaming and better yet, lucid dreaming. I dunno why but scary things are my trigger for lucid dreams and you should try to convince yourself (in RL) that next time you have a scary experience, you're gonna recognize it's a dream.
This may take a long time but it's worth it, then you can kill the entity or make it disappear or transform it into a mouse. Gandalf will seem like an amateur

I have nightmares almost every night and sleep paralysis whenever I wake up. I've never not been able to remember something as important as another's name, but usually it takes me a good five minutes to remember I've actually been to sleep. It's weird, I kind of wake up and it feels like the same point in time as when I fell asleep.