Sometimes when I'm close to sleeping I just get something similar to sleep paralysis, but istead of pressure I feel my head burning as if it'd explode at any second. Last time it happened, I felt it through my whole body. Is it a common hallucination during this moment or should I be concerned?
I think it would be best if you brought this up with your doctor. Tell them of your new problem, when it started and how long it lasts.
As above, a doctor is the best person for this. There are dozens of reasons for this, sounds like it could be stress linked but that's only a stab in the dark.
Yeah I would also bring this up with your doctor. Even if they don't have the answers, at least they could refer you to a specialist. Or perhaps if you have insurance, you can check your insurance's website for a provider directory of specialists.