I'm afraid I, too, must plead guilty to this phenomena.
Many years ago, and within about a week of each other, I had the same dream: Inhabiting a small, subterranean room with my family--waiting, waiting, waiting--when suddenly a group of armed men entered and opened fire. Needless to say, this was not a pleasant experience, and I woke up gasping for air both times.
Later I experienced a very eerie dream in which I was walking through our local cemetery and noted a quartet of four graceful marble statues adorning an above-ground crypt . . . they were, of course, the four grand duchesses. Suddenly one moved--I recognized her as Tatiana--opened her eyes, looked directly at me and then stepped down off the platform, then another, then another. Again, I quickly woke up before the dream went any further, feeling very, very unsettled.
Since that time I am happy to report I have had no further dreams regarding the Romanovs . . . only daytime thoughts and endeavors.