I read this somewhere in the last decade, I think on a web page although it might have been in a short story collection. There's a group of researchers at a base in Antarctica and they start disappearing one by one, always after stepping outside. They go through the usual speculation from enemy action to there being a killer on the base, but they wind up settling on the idea that they're all going crazy, and are on another planet, hallucinating that they're in Antarctica. The people who've disappeared have just come to their senses. I think it ended with the protagonist being the last one left, and choosing to step outside and look up into the sky.
Are you certain this was a short story?
It sounds rather like the 2012 film South of Sanity:
Fourteen souls were left to winter-over on Britain's largest Antarctic base. Nearly six months into winter all contact was lost. When a rescue team was sent into investigate no one was found alive. . . . . . . Cut off from the outside world, the small community gradually become fractured and antagonistic. From out of this dark crucible of malcontent, a killer emerges. In the isolated and disparate group, members are picked off one by one, paranoia ensues and no one is safe. Filmed and edited entirely on location in Antarctica, the story demonstrates that, even in the most inhospitable environment on earth, the most malevolent threat lurks inside ourselves