Hyperventilation can cause loss of CO2 from the blood leading to faint-headedness and panic. https://medlineplus.gov/ency/article/003071.htm#:~:text=Excessive%20breathing%20creates%20a%20low,such%20as%20bleeding%20or%20infection. Breathing into a bag increases the CO2 into the blood (as you are rebreathing old breath) and restoring the balance.