The [autonomic nervous system](https://en.wikipedia.org/wiki/Autonomic_nervous_system) acts unconsciously and handles things like heart rate and respiratory rate.
When you’re sad, the autonomic nervous does several things to get a lot of oxygen to the whole body. Among other things, it makes the glottis (the thing in our throat that ensures we can breathe, but food we eat doesn’t enter our lungs) open as much as possible. This leads to muscle tension around your throat, which is that strange feeling you’re talking about.
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