How it should look:
A nightmare comes frequently in which an intruder breaks in and murders my family. As usual, I awake, feverish, to soaked sheets, but tonight they are bloody, and the knife is still in my hand.
Why it should look that way:
A nightmare isn’t a place; you shouldn’t use where when referring to the nightmare itself (although it is of course appropriate when referring to a location in the nightmare).
The example contains inconsistent verb tenses. Since it begins and ends in present tense, I changed the past-tense verb awoke to awake.
Feverishly awoke makes no sense — did the writer mean some word which for feverish is a synonym and simply chose the wrong one? — so I changed it to the closest thing that does.
The second sentence is compound, so add a comma after bloody.