Could hearing a scary sound in the middle of the night after going to sleep depressed be an auditory hallucination? or part of a night mare?

Could be either, or: It would depend on whether you were asleep or awake when you heard the sound. Could be a parasomnia. Or, there may have actually been a sound that your mind/brain interpreted as scary -- like if a picture hanging on a wall suddenly falls down in the night. The resultant "crash" might wake & alarm you, but you wouldn't be awake enough to determine what happened. Please discuss with your doc.

Parasomnia: Parasomnia (experiencing a sleep state while awake). Hallucinations associated with falling asleep=hypnogogic. Hallucinations associated with waking up=hypnopomnic hallucinations. This are not psychiatric conditions.

SLEEP: A good night's sleep is crucial for physical & mental health. Have a physical exam by a Dr. to know if you have a physical illness. If cleared consult with a Clinical Psychologist for psychotherapy with ZOOM & a Psychiatrist for medication, perhaps a sleep study. Your fears & anxiety could be heightened because of the Covid-19 pandemic. Stay safe & hold on to hopefulness to elevate your immunity.