Rather specific and I don't know if it has a name, I'd just call it Dread:

The feeling when imagining a reality that theoretically might have been possible, specifically one with an aspect that is in every way horrible. I'm not talking about a dystopian society like often found in media. Im talking about a next level of Dread in every aspect.

The only real example for this is the Ordensstaat Burgrund from a Hearts of Iron 4 Modification called The New order. The so called Ordensstaat Burgrund is a "nation" that was established in the remains of France after the Nazis won. Every sentence written about it makes it a miserable place. The nation exists only to fuel the SS under the lead of Heinrich Himmler.

In the game, there is a phrase along the lines of "The sun never sets over burgundy, it is too afraid.". It is so bad, if the Nazis "win" against them, it might be considered a good ending.

I cannot express with words what feeling this whole thing produces. It is a horrible masterpiece of unexpected quality.

This random site explains some context if you're interested.

Also worth a note: their music's team is amazing. The Burgundian Lullaby is probably the most atmospheric piece of Music I know.

Disclaimer: National Socialism is bad, horrible, and an unspeakable act against humanity.