Some might. There's not much study done into this sort of thing - it's very hard to understand Serial Killers because they're so willing to lie about anything for nearly any reason that it can be excruciatingly difficult to discern the truth about their childhood or backgrounds.
The fantasy aspect seems indicative of OCD, but I read about serial killers on a fairly frequent basis and I can't seem to think of any particular serial killers who come to mind as having been noted as having OCD. It sounds like a definite possibility, however:
1) People who have intrusive "bad thoughts" as a result of OCD are aware of the negativity of these thoughts and understand that they are undesirable and do not want to think of them. Most of these serial killers, while having violent fantasies, do not seem to have any history of wanting to supress them, and from a young age most seem to be very comfortable with the fantasies and don't regard them as something intrusive.
2) "Intrusive thoughts" seem to be the only aspect of OCD that might fit these serial killers. I can't think of many who displayed any other OCD behavior. Remember that some of the criteria for having "Obessions" include:
Recurrent and persistent thoughts, impulses, or images that are experienced at some time during the disturbance, as intrusive and inappropriate and that cause marked anxiety or distress.
The person attempts to ignore or suppress such thoughts, impulses, or images, or to neutralize them with some other thought or action.
These seem like things that wouldn't occur with serial killers, as they are in no way "distressed" by their fantasies (more often than not they probably enjoy them - serial killers often describe the fantasies as something more pleasing than the murders themselves) and generally don't engage in any routines to try and supress these thoughts.
Most Serial Killers seemed to be very good at appearing charming and "normal" - something those of us with OCD often have great difficulty doing.
However, one might argue that some serial killers have some form of OCD, and instead of "canceling out" the obsession with some other ritual, they do so by engaging in the fantasy directly. Ted Bundy, prior to his death, began talking about "The Entity", a force that he claimed seemed to "compell" him towards comitting his acts. However, he only began mentioning this just prior to his execution - being a sociopath it is not unlikely that he was lying in order to postpone his termination; Bundy was very intelligent, having managed to escape twice in the past, only to go on and engage in more murders.
11:18 am, Greenwich Mean Time, December 21, 2012 AD.