I have been thinking about this and I think that some people are praying so much that they are entering a meditative state. Meditation can cause a release in endorphins, the feel good hormones, and some people in very deep meditation can have an altered state of consciousness. Naturally since they are religious they associate these feelings with being from Jehovah.
I believe that is also what happens to people in Pentecostal religions, they expect to speak in tongues, so that is the direction it takes for them.
I meditate, and do feel a mild euphoria and increased focus, but not an altered consciousness. I don't know if I am not doing it enough or if I am not the kind of person that experiences this