Can I introduce a concept? Its not really a location, but you can kind of go there.

The idea is that everyone experiences and sees things differently. When something horrible happens somewhere, a person keeps a horrible idea of the place as they associate that place with the bad memory. For example, if you had, some time ago, lived in say, New York, and you were attacked, and something very horrible happened, you would have a nightmarish memory of New York.

But my idea is that its not just a bad thought in the person's mind. People, through ritual, are actually able to physically go to this person's nightmare version of New York. Ya know, eternal night or crimson sky, malevolent scenery, perhaps lava, populated with monsters that symbolize the person's bad memory. 

Think Silent Hill, or Bloodborne.