Marilyn or the Monster (2000)
"Jack is haunted by a very real - and very ghostly - Marilyn. But he can't sleep at night. He is terrified of an unseen monster. In fact, Jack hasn't had a good night's sleep in over 30 years...since before he was in Vietnam. His psychiatrist tells him that he suffers from Post Traumatic Stress Disorder. But the real problem lies much deeper - and holds a far greater truth than Jack can possibly imagine..."
This audio play is based on the story "Marilyn" by Jack Dann, printed in the 10th Anniversary Eidolon, reprinted in The Magazine of Fantasy and Science Fiction and collected in The Year's Best Fantasy, 14th Annual Collection and Year's Best Dark Fantasy, 2002 edition.