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This isn't a case of something I myself saw, but it's something my mom recounted years ago that I could never find more about when looking it up online. Specifically, she described an episode of The Twilight Zone (she didn't say if it was the 1959, 1985, or 2002 version — the 2019 version didn't exist yet) where a woman is constantly having nightmares about being stalked by a killer. As she talks over it with someone close to her, the lines between the dream and real life become blurrier and blurrier, to the extent where she starts wondering if her "normal" life is actually the dream. Eventually, she decides that the scenes with the killer are the dream, and lets him kill her so she can finally be rid of him, only to drop dead in pain, realizing that this was real.
I've tried looking up this episode, but I couldn't find any indication that it ever existed, yet my mom was able to remember it quite vividly. Was it a real Twilight Zone episode? Was it an episode of another show that just resembled The Twilight Zone? Was it a movie?