Maybe there is some kind of carbon monoxide or similar toxin which is causing confusion?

OP, we get calls sometimes where no-one is there and it doesn't register on the caller ID. I've always assumed that the caller just hung up very quickly. You said it was at night. Probably, the caller just realized s/he had a wrong number and hung up before anyone could answer because s/he realized that they might be calling a house where people were sleeping. Seriously, I don't think that's anything.

I would have a quick run around the house splashing holy water while screaming "The power of Christ compels you!".

Sage, seriously. And avoid watching American Horror Story at all costs!