Haha, a nontrivial amount of “thermal comfort” comes from the radiant temperature of solid objects like walls and furniture, which are colder in the mornings after being in the chill all night. So that perception is not an illusion. It’s actually colder because you’re not receiving as much infrared radiant heat from your walls and stuff.

http://www.sensiblehouse.org/nrg_comfort.htm#:~:text=Mean Radiant temperature%3A While air,the objects in the room.