A dissociate state of arousal may modify the components of sleep-wake behavior, consciousness, and also pain perception. ~ French psychiatrist Régis Lopez
Sleepwalkers present an intriguing paradox: although they suffer more headaches and migraines while awake, while sleepwalking they are unlikely to feel pain, even upon suffering physical injury. A 2015 study found that sleepwalkers were 4 times more likely than the general population to have a history of headaches, and 10 times more likely to report migraines; but among those who injured themselves during a sleepwalking episode, 79% perceived no pain at the time: remaining asleep despite hurting themselves.
One man sustained severe fractures after jumping out of a 3rd-floor window while sleepwalking but did not feel it until he woke up later in the night. Another broke his leg during a sleepwalking episode in which he climbed onto the roof of his house and fell; but he did not wake until morning.
It is hard to credit this happening if the brain were running the show. Only if an energy system manufactures physicality does this make any sense.