Thinking of "meta/real world" horror films/shows. Not because they're connected, just for the sake of it.
-The Human Centipede 2 (Part 1 is fictional - also, yuck...)
-The Town That Dreaded Sundown (2014)
-The Human Centipede 3 (Part 2 is fictional - it's a fictive-layer centipede XD)
-Ju-On...