I can't remember where I read this short story, but the plot is that a cowboy perches on the edge of a cliff looking for Black Bart or some such other villain to ride up.
From behind the cowboy comes a psychologist who explains kindly to the cowboy that he's experiencing a delusion which has thrown him back into the old West, and that none of this is real - no gun, no cliff, no Black Bart. To prove it, the psychologist walks out in front of him, and promptly falls off the cliff to his death. The cowboy shakes his head and picks up his rifle because he sees Black Bart riding up in the distance.
Any clues? No idea as to title or author but it might have been in an anthology of Hugo or Nebula winners.