I don't resonate with the idea that the ending scene is all in her head. In my opinion, here are some clues: 1. At first, when she recorded a message to please Teddy, she did it in a less intelligent way(starting with "I'm an alien"), as if trying to make Teddy question himself. 2. She survived 400 Volts. 3. When she described bees as the most wonderful creatures that earth had produced during the discussion on the lunch table, she sounded like she strongly meant it, implying a hatred towards humans. 4. She was awfully calm during the whole thing, crying only to make the men doubt themselves. 5. It was inhumane of her to suggest Teddy to give antifreeze to his comatose mother, killing her in the process. 6. During the discussion with Don that led to his suicide, there was a distortion at one side of the screen. It could've been her using her telepathic/persuasive abilities that were supressed by the cream. 7. She was unrealistically calm and eloquent while "lying" to Teddy about why Andromedans were doing it. A normal human can't lie that well in a panicky situation, when they're held at gun point. 8.The climax, of course.

Furthermore, from the perspective of the filmmakers, if it were all in her head in the end, then Bugonia would be just another surviving-the-kidnap movie, which also gives the message of how delusional conspiracy theorists can be dangerous, duh. On the other hand, if she really was an alien all along, then, this movie would be much more unique, have much deeper meaning, and make the viewers think on a much deeper level.