Kaibutsu Oujo: Konsui Oujo

Flandre has gone missing within the mansion and Reiri, Riza, Hiro, and Hime have been left without any of their powers. They quickly deduce they’re in a nightmare after exposing an illusion by setting a curtain ablaze. They have to work to find their way out of the nightmare while facing tough opponents.

(Source: Wikipedia, edited)