In the video game American McGee’s Alice The reveal that Alice is an unreliable narrator comes pretty early. Still it’s interesting that the character is able to deal with her psychological issues by believing the beings she meets are real.
If you extend the definition of ghost to include childhood boogeyman - you can include To Kill a Mockingbird. The kids never actually saw Boo Radley until the end of the story. Until then, he was just a local legend to them.
In this ST:TNG episode, Geordi and Ro think they’re dead but they’re actually slightly out of phase: The Next Phase (episode) | Memory Alpha | Fandom
How about Coco?
I think it may have been a bit dark but I could see revealing at the end, Miguel had actually died and did cross over.
Pixar / Disney have the skill to pull it off but knowing how poor the little ones are at keeping mum on spoilers, it probably wasn’t worth the trouble for such a risk.
(Perhaps drifting a little off the topic of this thread, but anyway…)
The delusion and outright hallucination I remember most is the fog machine. During group meetings, if the inmates begin to get a bit unruly, TPTB turn on the fog machine which fills the room with dense, totally opaque fog so that Bromden can’t see or hear anything. As other people file out of the room, if they pass nearby him, all he sees is disembodied heads looming out of the fog and then fading away as they pass by.
The most lurid hallucination is right in the opening pages. At night, in bed, the beds are on a conveyor belt that carries them all out of doors at the end of the dorm and down an elevator into a hell pit where they are forced to work at hard labor in the red-hot mines all night.
A major incident in Bromden’s character development occurs when they take a vote on whether to take a fishing-boat field trip. It became a major contest of wills between Nurse Ratched and McMurphy. Bromden believes that the fluorescent lights in the ceiling are mind-control rays. Yet he votes against Ratched to have the field trip, and then he realizes that he acted of his own volition. This entire scene is totally missing from the movie.
ALL of the above is missing from the movie. Bromden’s character development through the story is a major theme of the book, and is totally lost in the movie.
Broken Ghost (A cheesy B-movie. But props to them for keeping me fooled til the end.)
At least as I understood it, Netflix’s The Haunting of Hill House.
The rest of the family seems to think that Luke’s friend Abigail is imaginary so the audience is led to believe she’s probably a ghost.
It turns out she actually is a real person throughout the whole series (apparently just never around when the rest of family is? 
) but dies at the end and does become a ghost after all.
Also on Hill House, I suppose the Bent Neck Lady would also fall into this category in a bit of subversion of the trope.
Throughout her life, Nell is haunted by an apparition of a lady with a broken neck, who she calls the Bent Neck Lady. In a brilliant plot twist, we eventually find out Nell is the Bent Neck Lady. When Nell dies (due to a broken neck, of course), she finds herself tumbling back in time and appearing to her younger self as the apparition she saw.
In Virginia Hamilton’s The House of Dies Drear, the main character believes that another character, Mr. Pluto, is in fact a devil. He’s not.
People also pretend to be ghosts in this book.
There was an episode of The Andy Griffith Show with a similar theme. It didn’t involve a ghost but it was about Opie talking about a friend he had that nobody else had seen. So everyone assumed Opie was making the friend up. In the final scene of the episode, Andy finally met the man.
No…not like that.
Mr. McBeevee! Mr. McBeevee (episode) | Mayberry Wiki | Fandom
There’s an episode of macabre anthology series Inside No. 9 that fits both the “actually a ghost” and “actually not a ghost” tropes.
(Inside No. 9 is really good, so you should probably stop reading this and just watch the whole series).
[spoiler]It’s the tale of a teacher/wannabe writer who seems to fall under the spell of a chance-met tramp. Before anyone really knows what is happening, the tramp has moved in to his flat, his girlfriend has moved out (partly due to getting an acting role out of town) and he has stopped showing up at work in favour of “writing”, drinking and claiming benefits, mentored in these pursuits by the tramp. But the tramp is subtly working to bring him down, turning him against his support network and isolating him. No-one else ever sees the tramp. Even the girlfriend, as the protagonist kept the two apart from the beginning.
Eventually he gets one last visit from the girlfriend, who explains that he’s been behaving really weirdly, asks why the tramp is never around when she is and tells him that he’s got to make a decision to snap out of this fugue state. It seems the tramp is some sort of hallucinatory manifestation of depression. The penultimate scene is him physically turning on the tramp.
The last scene is a friend from work, coming back to congratulate him on getting back to teaching (and to check he’s alright). He is. He’s cleaned up, sobered up and is properly engaging with people. Friend says he knows the teacher had it bad ever since the unexpected death of his girlfriend in that accident on the way to her new role. Friend then goes into the bathroom and sees… the decomposing body of the tramp who was real, was destroying the teacher’s life, and has now been murdered by him, under the instigation of the memory/ghost of his girlfriend.[/spoiler]
The Others is the only thing I’ve seen remotely like that.