I often had worries like this in late pregnancy. Very occasionally I had dreams. I think the key is to keep reminding yourself that all is well, you are healthy, bubs is ok. Try to keep your mind busy while you rest your body (when you're not sleeping). FWIW, I never suffered a loss but I still very occasionally feared the worst. I think it is natural every now and again for a parent to fear for their child. Just as long as they aren't the thoughts you're having most often.
Not long to go!