Surely the ultimate horror game would be one where, at least initially, the players do not know they are playing a horror game.
Horror is brought into perspective by normality, so the best way to being would be with something like an Apocalypse Word-derived storygame set in the real world. AW is good at developing pre-existing networks of connection before the game starts so do that in a reality-based situation. Tell players that they are exploring gender or something.
Or even better, tell them that they are exploring non-privileged perspectives in the mental health field.
Start off with some normal shit and throw in some everyday stressors "uh oh, looks like I might be in danger of losing this office job/relationship".
Then you veeeery slowly start introducing reality bending stuff.
The thing is, because they think they are playing a game about mental health, at first even the players think they are seeing things that aren't there, or blacking out and imagining things that didn't happen. Of course they are scared to go to the authorities and of course no-one will believe them.
Then you throw in something that, while no-one else witnesses it directly, can only be the result of supernatural forces. But even then you don't tell them directly what's going on and one or two still think they are playing in the mental illness game.
As soon as the session is finished you just stand up, refuse to answer any questions, grab your stuff and go. They wouldn't even be certain what kind of game they had played in.