From Longman Dictionary of Contemporary Englishhorror of horrorshorror of horrorsBritish English used to say how bad something is – often used humorously when you think something is not really very bad → horror
Examples from the Corpus
horror of horrors• At worst there was the danger - horror of horrors! - of falling in.• He wondered what Vic's reaction might be if he ever found out or, horror of horrors, caught him red-handed? 