This could've be in an anthology; it was a novella or short story, published before 1980.
The main character goes to the psychiatrist because he thinks he is being followed and watched - or is it paranoia? Turns out the government is protecting him because he is the source of all life (god?). The story ends with the world and the darkness closing in on him -- but has a happy ending.
This is "Tonight The Sky Will Fall" by Daniel F. Galouye, collected most notably in Brian Aldiss's Space Opera anthology from 1974.
The story concerns Tarl Brent, who has recently become rich through a series of lucky coincidences. It turns out this is all being manipulated by the government and scientists who discovered that Brent - or a being associated with his subconscious - is actually the source of all existence in reality. They theorise that the being can't actually consciously maintain all it has created, so need to do everything they can to keep it from properly waking up.
At one point it does actually wake, and existence is reduced to a tiny area surrounded by darkness. But they are able to get it back to sleep and existence expands outwards again, restoring things to how they were.
