Wouldn’t it be nice if you could have an external item provide comfort and security during the sleep paralysis experience?
Unfortunately, it is not possible and the process of the experience does not allow for physical items being bought into the ethereal realm.
When you experience sleep paralysis, you are within a different environment or dimension. This is the world of spirits, a place where your spiritual body can exercise its freedom and awareness. Whilst you can see physical objects such as your blankets and bed during sleep paralysis, the items are not made of a physical substance that can provide comfort to you in your spiritual form. It’s a bit like oil and water. Both can exist in the same space, but they do not mix and each retains its own environment.
Anyway, during the experience, your terror is so great that you want to move and get away, not hide under a blanket and the bodily paralysis does not allow for movement, so you couldn’t grab the blanket even if you wanted to.
The two worlds i.e. the physical and spiritual are simply made up of two different fabrics. And so it should be.