Your grandma was lucky in a way, mine had dementia and was convinced Nazis lived across the street. This was years ago and we didn't have a good understanding of what she was going through. We spent her last years arguing with her and trying to convince her everything was ok.I spent the year as "the cruise director". I never did correct her or try to tell her where she was or who I was. I was glad she was somewhere pleasant in her mind.
I pray that your grandmother finds as pleasant a place, and finds peace.
My heart goes out to the op, ninjasquirrel. Years later I still think about the good times with my grandma when I was a kid. Things will get easier and keep reaching out for support from family, friends (including us) as much as you need to.