Sometimes the tail end of dreams wake me and leave me feeling that way. It is related to feelings of failure with me or maybe shame for something I did or failed to do. I tell myself that I've done the best I can or if there is something I can change to make it better think of small manageable steps to move in that direction. Usually I will close my eyes and rock myself back to sleep. I don't know if yours is the same thing. It would be good to let your therapist know if you have one.