The Man Who Was Thursday is a fantastic book by G.K. Chesterton, describing some very disturbing things about the world. The fact that the subtitle states that it is a nightmare might instantly get people who liked Hangman's Curse interested, but it is a horror that goes far deeper than spiders and satanism. It is a lack of knowledge of what is really going on even though you are given all of the facts that the main character knows along the way.
I won't spoil it for you, since if you're reading a review you may be interested in reading it, but I will say that it has to do with the anarchist movement in Britain in the earlier part of the 20th century. Sometimes to humorous effect, surprises going along the way start helping you understand what's going on and you begin to wonder if it really is an allegory. It begins to be clear that it is not an allegory in the usual way an allegory is laid out. But that is the brilliance of the book; it is not an allegory, and barely a parallel, making merely a deep philosophical statement by the author, one that is found often in this genre of fiction: surreal, or to coin a phrase, pseudo dystopian.
That philosophical statement I believe is something that I will leave for you to discover. If you are a writer, it is one that may inspire you to convey a deeper meaning to your work. If you are not a writer and only a passive reader, no matter how passive, you will continue to think about what it means and how true it rings in our world.