A Visit from the Incubus (2001)

Lucy, a young Victorian woman in the Old West, is being tormented by nightly visits from an incubus. Her friend Madeleine tries to console her, but is unable to help. A fallen woman, Lucy gets a job singing at the local saloon. However, the Incubus has followed her there; and things take an unexpected turn as Lucy and the Incubus, amidst the rowdy cowboys and saucy can-can girls, have their final showdown.