What is the reason we always see shadows and scary things in sleep paralysis?

Hallucinations: If you have been formally diagnosed with sleep paralysis and the cause is narcolepsy, these visions that you describe are not uncommon and are referred to as hallucinations. They tend to occur as the patient falls asleep (hypnagogic) or as the patients wakes up from sleep (hypnapompic). They can be quite vivid and disturbing to the patients. They tend to resolve with treatment of the narcolepsy.

Sleep Paralysis: Sleep paralysis happens in rem sleep, rem sleep is responsible for nightmares, vivid dreams etc., blink your eyelids if you wake up in sleep paralysis and you will snap out of rem sleep.