The same thing happened to me with my hedghog the second week I had her home. I rushed to get her because the noise freaked me out but when I grabbed her she was perfectly fine and acted as if I had just woke her up. I thought the same exact thing.....a nightmare??? But do hedgehogs even have nightmares? Lol. When it happened to me I just made sure to keep a close eye on her after. Her eating, drinking, pooping, temperature, temperament, checked all of her body parts to make sure nothing was hurt. And she was perfectly fine for the next few days I was watching her. Nothing was wrong.
I would say just do the same thing as it?s all you really can do, monitor them closely just to be on the safe side!