I had moderately serious heart problem (atrial murmur, sort of the less-serious cousin of afib/atrial fibrilation) and it was extremely clear to me that whatever was happening in my chest was also directly spiking my feelings of anxiety.
To be clear, I mean a direct heart->anxiety link, as opposed to "I'm thinking about my heart problem and therefore my anxiety is spiking" indirect link. On an experiential level it was very, very distinct from, say, being stressed out because your toenail hurts.
I realize that I'm a sample of one, and self-diagnosing phenomena like that is not particularly reliable. However, it was so crystal clear to me that I would consider it something close to truth and would place the burden of proof on anybody looking to claim otherwise.
There would certainly seem to be a significant biological advantage there, to having certain biological situations (pain, etc) cause a spike in corisol etc directly, as opposed to relying on the slower and less reliable processing our wonderful brains can provide. Especially in species with far simpler brains than humans.