There is this story of a long-time Call of Cthulhu playernote in CoC the police is your friend, most of the time who was invited to a Cyberpunk 2020 gamenote where the attitudes are a lot more... cyberpunkish, if you know what we mean:
GM: You wake up in your apartment. You hear heavy steps on the stairs.
Player: I put my clothes on.
GM: They must be some sort of police assault squad, coming for you.
Player: I wash and shave.
GM: They're pounding on the door!
Player: I open.
GM: [ends the game]
Also worth noting is the uh oh moment when you design your character under the assumption that the game is going to be a certain genre and then find that you have made a character completely unequipped to get by in the gamemaster's world. This is especially a risk in universal systems such as GURPS, where literally any character conceivable can be made, requiring the GM to be very clear about the ground rules of his/her universe, or else tragic mismatches can ensue.
In Traveller, during the Interstellar Wars the Vilani Imperium had been deliberately clogged with Obstructive Bureaucrats to prevent change even if the change meant technical advance. This is a seemingly stupid idea but It Makes Sense in Context. You see, long ago the Vilani had conquered every single power around and rearranged the universe exactly the way they wanted. With no outside threat the only danger was civil war. If they could make their imperium run on autopilot the danger of that could be minimized. The problem was that this only made sense when there was no outside threat. Unfortunately the Vilani discovered a Barbarian Tribe from a certain Insignificant Little Blue Planet, which had different ideas about such matters...
In Unknown Armies, some characters (specifically television-obsessed Videomancers) can actually use Wrong Genre Savvy to their own advantage: a Significant formula spell from that school, called 'Laff Riot', literally replaces reality's normal rules with the conventions of a situation comedy ... "reality", here, being defined as the brutal and unforgiving harshness of a self-identified postmodern horror role-playing game of power and consequences wherein foolish characters often have the life expectancy of goldfish. The spell lasts only seconds in a fight or a few minutes outside of combat, but while in effect, all gunshots miss (including critical successes) and no physical damage from any source can exceed 5 points (approximately 1/10th of the average human's hit points). Targets of any attacks are, however, often subject to hilarious and humiliating pratfalls, like the suggested result of winding up hanging by the seat of your pants from a fire escape, flailing helplessly. Wrong Genre Savvy applies again when the spell wears off, of course, and people are once again free to plummet to their death.
Fair Folk in Exalted derive a lot of their horror from the fact that they're incapable of understanding that reality is more than just a melodrama of roles to be enjoyed and passions to be savored, and that all the human 'actors' in their stories are mortal and sentient.
Too much Talecrafting in Changeling: The Lost can cause a changeling to fall prey to this, his or her perceptions becoming warped to perceive everything as part of a fairy tale.
In Hunter: The Vigil, a cell of hunters doesn't get to make more than one chance at being wrong genre savvy before the vampire the hunters thought was dead in sunlight comes up behind them for the killing blow.
Near everyone in Warhammer 40,000 is delusional about their situation, with tragic consequences for themselves and everyone else. The Imperium think that they're the defenders of peace and order in an inherently hostile universe. Nuhuhnote They are correct about the universe being inately hostile though. The Eldar (and the Necrons, after the 5th Edition Retcon) think they're nobly trying to preserve their dwindling culture from the barbarians constantly knocking down their doors. Notevenclose. The Tau think they're the sole beacon of hope and kindness in the face of overwhelming brutality and GRIMDARK. You wish. And while they might come close, they vastly underestimate the hostility of the world they're living in. Even Chaos think they're the only source of true freedom and individuality in a galaxy of control and totalitarianism, when they're just as enslaved to their gods and daemons as other humans are to the Imperium. Only the Orks realise they're little more than machines bred to do nothing but fight; not-so-coincidentally, they're the only ones having a good time.
One Eldar philosopher called Uthan the Perverse actually argued that the Orks were the only race in the galaxy who knew their place in the galaxy, and thus were collectively the Only Sane Man.
Uthan: The Orks are the pinnacle of creation. For them, the great struggle is won. They have evolved a society which knows no stress or angst. Who are we to judge them? We Eldar who have failed, or the Humans, on the road to ruin in their turn? And why? Because we sought answers to questions that an Ork wouldn't even bother to ask! We see a culture that is strong and despise it as crude.
Further, Humans prior to the Horus Heresy thought they were in a period of the space opera genre after surviving a period of the AI war genre, unfortunately they're really in a cosmic horror story and facing the end times.
The Cyberpunk 2020 adventure module "Carlsbad Caverns'' features a vampire as the primary villain. Not a normal person who's been cybered with the appropriate implants to pretend to be a vampire, but an honest-to-God supernatural blood-sucking creature of the night. GM notes for this adventure module suggest that the referee allow the players to keep thinking they're in a gritty cyberpunk science fiction story, while they're actually being thrust into a gritty survival horror story.
In Counter Monkey Spoony gives the same advice about playing Cthulhupunk - the GM should convince players they're playing gritty cyberpunk story and then hit them with revelation it's really a Cosmic Horror Story, most conveniently by not telling the players what game they're actually playing.