I get the impression that it’s different for every driver. Hamilton does very well in wheel to wheel racing, so I’d imagine that the pressure actually clears and focuses his mind, whereas Rosberg tends to perform less well in the same situation so I guess that the same pressure works very differently for him, and he gets flustered and makes bad decisions.
Interestingly, there were many races last year (Austria springs to mind) where Rosberg outperformed Hamilton in qualifying, delivering a very cool, calm and collected final (and therefore fastest) lap, when the pressure to deliver is at it’s greatest, whereas Hamilton made considerable mistakes whilst trying to complete his lap under that same type of pressure.