If you sand it you'll get a hole in it and you'll wish you never started....can you live with the small marks? Someone on here might be able to offer some advice but please don't be tempted to sand the paper.
Someone might be able to offer advice on a product / paint that would do a good coverage job for you.
If the walls are relatively soft plaster then you can gently tap the grit flush with a hammer.
I routinely sand lining paper BUT you need to use a sander connected to a dust extractor (ie vacuum), otherwise the surface of the paper will rip. When sanding paper the dust starts to pill and creates little balls that will rip the surface unless you use extraction to suck the dust away.
If you don't have access to a dust extractor then you might get away with sanding the hairs with 180g silicone carbide paper- in essence you will be sanding part of the paper back, the hair will still be there but hopefully it will be approximately the same thickness as the paper.
Ultimately you need to ensure that you don't go through the paper, otherwise you will need to back fill with something like Red Devil OneTime filler.
If you are responsible for the grit and hairs then consider using a roller in future to apply the paste to the paper. Use a second roller to apply the diluted paste (size) to the walls, allow it dry and then give it a light sand to knock the grit off when dry.
But these are not marks are they, they are bits of grit and bristle, and no colour paint would really hide them. so they really will have to be removed.
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