Nightbreed: Genesis #1

Boone has been seeing his psychiatrist Dr. Decker about nightmares he's been having, but the psychiatrist has been prescribing him hallucinogenic drugs instead of the anti-depressants that he was supposed to be taking. After a number of grisly murders, Decker tells the police that Boone is likely responsible, and Boone goes on the run searching for a place called Midian where the monsters live. He duly finds it, but the police catch up with Boone there, and urged on by Decker, they shoot Boone dead.