I think this is so obvious that it's not very original but it's really the only thing that comes to mind:
The magical girls of the time end up battling a very real threat (witches, wraiths, whatever…) but also are the target of the infamous "witch trials". The trials and "witch hunt" end up hampering the girls efforts to defeat the real witches, so they must somehow overcome that persecution in order to deal with the real threat, probably with tragic consequences.
inb4, "we really are witches"
Here is a random idea.
What if a 'bad' Magical Girl happens to be the daughter of the towns mayor or some other authoritative figure. She uses this position to influence the town against the 'good' Magical Girls (who will be thought of by the people as witches), as a method of maintaining control over her territory.
You could also have this bad Magical Girl trick the other girls into thinking she is their friend, until stabbing them in the back and leading to at least one of them to getting caught, which could be a great betrayal scene.
What do you think?
Hm… I kind of want to write that now :P