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The weird “separate” sensations we experience when a particular limb “falls asleep” are the result of nerves under pressure.
For example, if an arm has fallen asleep, it is most likely that the person had slept on the arm. The sleeping position squeezed and exerted pressure on the nerves, which were as a result unable to carry messages to the brain as well as other parts of the body. And if the position also squeezed the blood vessels, it would mean that oxygen carried by them did not reach the nerves.
When one removes the pressure on the nerves and on the blood vessels, in this case by a change in the position, the nerve fibres awaken in order of their thickness and of the thickness of their myelin sheaths (protective covering). Hence, the thickest and most protected ones awaken last. This gradual awakening process causes the different sensations we experience as the affected body part returns to normalcy.
The first sensation we experience is a tingling sensation, followed by a burning sensation, as the fibres that control pain and temperature now function and are again able to transmit these messages to the brain. Not until later, does the numbness we feel disappear, simply because the fibres that control touch and position are thicker fibres with thicker myelin sheaths.
Similar fibres, known as motor neurons, travel in the same nerves, but take direct orders from the brain to the spinal cord to the muscles, and awaken shortly after those controlling touch and position. For this reason, after the numbness disappears, we regain our ability to move the affected body part, and life is finally back to normal.
Sources: The Telegraph (Kolkata, India)