I think it's probably a situation where what you can percieve dictates what you can interact with. We've seen Sae interact with Nora in her human form, so I think both forms exist simultanously. We know for a fact that there is a story behind this that Nora's sister was going to tell Sae, and we also know Nora is a supernatural apparition because she had 2 tails that one time so I don't think this is just Sae hallucinating.
Also compare the story to Kuzuryu and Chome. We see Chome in a human form, but Kuzuryu doesn't, and only interacts with her as a hamster.