The episode you're referring to (The quote about calling on God) is at the end (I believe) of the episode "A Small Question of Terror" (It's a nail-biter about a woman, her fiancee and her mother trying to escape from a fictitious country behind the Iron Curtain).

The episode about the man going to Europe and then relaying his horrifying experiences to a psychiatrist is "The Velvet Claws". (An episode that was done previously on "Escape" and called "Ancient Sorceries").

FYI.............................. 