Is there an equivalent of "reverie" where one is lost in unpleasant thoughts?

To say "the noise outside shook her from her reverie" implies she was lost in pleasant daydreams.

What if she was lost in worry or unpleasant thoughts? Is there an equivalent term (single word or short phrase)?

In psychology, what you are describing would be called rumination. It is where a depressed person gets caught up in their depressed thoughts. To quote the Wikipedia article:

Rumination is defined as the compulsively focused attention on the symptoms of one's distress, and on its possible causes and consequences, as opposed to its solutions.

The part about it being "compulsive" refers to the part about getting stuck.

When I wish to increase my unhappiness, I brood on things. Oxford dictionary:

Think deeply about something that makes one unhappy

You might have a look at dysphoria.

dysphoria n. a state of dissatisfaction, anxiety, restlessness, or fidgeting.

"Reverie" is usually used for a pleasant state, but it is essentially neutral. The OED quotes this from Washington Irving:

1820 W. Irving Sketch Bk. I. 145 Walking about in a sad reverie,..unconscious of the world around her.