Gods are as real as their worshipers.

I chose this one because the setup sounded like it might have been similar to/an influence of American Gods by Neil Gaiman.

It seemed as though everyone entered into a conspiracy to keep me from marrying Harvey Winters, Even Harvey himself.

He asked me to be his wife in stiff, old-fashioned phraseology, almost as though it were against his will, and then before I had a chance to answer, said: “I must tell you that though I love you I am not the man you should marry. I don’t think it's in me to make any woman happy because of the Dream Woman.”

“The dream woman?” I exclaimed.

“All my life I've had strange dreams of a beautiful, wonderful woman. I can’t describe her because her loveliness is beyond words. She comes to me in dreams. I've spent my life searching for her counterpart even though I knew such a glorious being could never be of earth. It always seems as though I’m being pulled to far away places to search for her. That's why I came to Mexico. I'll always worship her in a strange, indefinable way, but I love you, Irene, though I’m not sure I can make you happy—because of her.”

…

For the rest, listen to the episode. If you'd like to read along, I posted a free epub version at the main site. The Lost Gods

Original publication: September, 1941 issue of Weird Tales. Extensive research has not revealed the necessary renewal of copyright, so this is believed to be in the public domain.