#4 Did the entire WWE segment take place inside Shayna Baszler's head?
Yes, the possibility that a WWE segment could be a dream sounds like perfect fan-fiction material. However, evidence from Alexa Bliss and Shayna Baszler's recent encounter lends some credence to this possibility.
When the entire backstage area turned into a horror setting, there was no one present there except Baszler. Moreover, Nia Jax had warned her tag team partner about Alexa Bliss' mystical tricks beforehand, so why didn't she come to Baszler's rescue when everything turned into chaos?
If this segment indeed took place inside Shayna Baszler's head, the bizarreness of it all would make sense. This possibility would also be an efficient way for her to return to normalcy immediately. Otherwise, WWE has a lot of explaining to do on next week's episode.
#3 Shayna Baszler fell into Alexa Bliss and Lilly's control
Shayna Baszler's screams marked the end of this week's WWE RAW, so the logical creative direction would be that things didn't end well for her after the segment took place.
Being trapped in the same room as Lilly the doll, did Baszler even escape it after the show went off the air? It's reasonable to assume that the supernatural doll and Alexa Bliss may control Baszler's actions after this week's show. Perhaps the former UFC fighter may even end up being the physical manifestation of the doll in the long run.
WWE could certainly add a few layers to the story by exploring Shayna Baszler's fractured mindset after her supposedly horrifying encounter (for the character) with Lilly.