So, there's a phenomenon that I've experienced more

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So, there's a phenomenon that I've experienced more than once, and I haven't found any explanations or similar cases yet.
Sometimes my dreams turn into nightmares very rapidly. To give an example: last night I had a normal, usual dream. Walking around, talking to people I know, stuff like that. Then suddenly I saw two extremely disfigured women. The details are not important, but they were disturbing enough to send me into panic mode. I became very unsettled, and at the same time the dream world began to wane, and become blurry. I was starting to wake up.
And here comes the interesting part: while I was drifting out of my dream, I heard a loud, metallic, scream-like sound. Imagine a nazgul scream mixed with the sound that an old, rusty train would make if it had to stop abruptly.
Whenever I have a "sudden nightmare" like this, I always hear this sound during the wake up phase, although it had never been this intense before. I also feel heavy pressure in my head at the same time. Any ideas about what can cause this?