I have never experienced this myself and hopefully never will be as I have been on menstrual suppression for decades, but I have certainly heard it described enough times to believe it is an actual thing.
It is probably akin to phantom limb pain, or to Pavlov's dogs becoming conditioned to salivate at the ring of a bell, even when there was no food.
I think out brains are creatures of habit and will continue going through the motions even when there's no need.
Certainly if I have been used to getting up early and then turn my alarm off hoping for a lie in, I will generally wake up around the time the alarm would have gone off, even though it hasn't.