It sounds like they are highly empathetic. If they were hearing voices it could either be clairaudient experiences, or, like Pedro implied, possibly a health related issue (e.g. hallucinations, or even a gas leak). A regular mental health checkup should be able to diagnose something like that.
Having said that, if they feel brave enough, maybe summoning or addressing the entity directly can help. Tell them to go into a meditation, which can be done before sleep, try to visualize the entity (it may even be a spirit guide) and “ask” what it is.
Here’s another useful recipe by SilverBear: Empath Shielding Anyone?