Ghosts and Goblins, Monsters and . . . Daddy

Lucy has a very creative imagination.  She tells me all the time that she see monkeys and owls in the trees (we do have owls but not usually during the middle of the afternoon), dolphins and whales in the pond, and she sees friends and family members in the hall or in her bedroom. I know she is usually pretending but when she started becoming scared to sleep in her bed, well, now I'm worried.
It started off with a lot of pointing towards the closet or the rocking chair and discussion of seeing someone there.  I know shadows play tricks.  I know she is creative. I know most little kids get scared of the dark.
Now, she won't go to bed without a blanket over her head.  Even for nap time, when it isn't dark.  If she's going to sleep, she't got a blanket over her head.

Is this what Lucy is afraid of?

I don't know if it is because of  an incident that happened a few weeks ago or if that is just a contributing factor or what.  The girls have been playing a game they call "ghost."  They make moaning noises and chase each other.  No big deal.  They were playing it the other day and Brian started talking to them over the baby monitor. It caught Lucy off-guard and made her extremely upset. It was around the same time that this fear of sleeping in her bed started.  We've explained that it was Daddy, she's seen how the monitor works and knows we can talk to her and that we can hear and see her.  It doesn't matter though, she's still very scared to go to bed.
I've gotten some great suggestions from friends, like use a Dreamlite or a nightlight.  Lucy has both and she  doesn't want them on.  I guess it's not that she's scared of the dark, per se, because she's napping in the daylight and still scared, she's just scared to go to sleep in her room.  I can identify with this because I was scared to go to sleep in my bed until I was about ten years old and even then I still had trouble from time to time. (I am not allowed to watch scary movies anymore since I saw The Ring and Ghost Ship and never fully recovered.) My mom used to let us watch semi-scary movies, like the original Clash of the Titans and I was petrified of Medusa and swore I saw her in every dark corner of our house.  I don't want my little girl to have to go through that trauma.  The feeling of not being able to close your eyes and go to sleep because you're sure something is watching you or is about to jump out and get you is one of the most uncomfortable experiences anyone can have.  The only thing that ever made me feel better was sleeping with my mom and even then it didn't always help.  What do y'all think? Is this just a passing phase or should I be genuinely concerned?  Any more suggestions on how to make her feel more comfortable? How many of you have gone through similar situations and what was the outcome? Imma has never been afraid of the dark or much of anything else so this is our first time experiencing this. Thanks in advance for your help!