Good question, one that I don't know the answer to. But I know an experiment that can help us find out! Spicy-hot is a complex phenomenon, but it is my understanding that a large part of it is that the capsaicinoids react with the heat receptors in your mouth to adjust their baseline temperature; making them react to normal temperatures inside your mouth as if they were physically burning hot. If tolerance is a purely mental exercise, then I would expect that I would not be able to accurately judge temperature of things in my mouth after consuming very spicy food; if I can accurately judge temperature then this would suggest that there is a biological mechanism at play.
I eat very spicy food and I've noticed for a while now I've lost the ability to detect when I'm being burned in my mouth (at all, it's actually a bit of an issue sometimes). The rest of my body is the same as it always was - save for my fingers, which I can use to flip things in hot oil (probably a result of exposure to hot oil). Perhaps you are on to something :)
