Severe anxiety can in fact cause delusions, at least that is what...uh...I read on the internet. I have also experienced this recently when I could have sworn that i was walking around in a dream, or that I was dead and was walking around in the afterlife, which i knew was wrong because I don't believe in an afterlife. I'm still having problems with it in my case I think it has to do with all of the terrible things going on in the world right now, like every time one checks the news these days it's literally like "What fresh hell is this!"

Anxiety is Often the Cause of Delusions.

This should be link to an article anxiety and delusions.