Lovecraft Country by Matt Ruff has the potential to be a great dark fantasy horror game full of cults, ghosts, just overall creepy. Survival horror Silent Hill-esque even.

Shogun by James Clavell can be fantastic. I love Ghost of Tsushima on PS4 (the setting of medieval and feudal/shogunate Japan or even warring states Japan in video games is just majestic) and this novel has even more context. Add in the short stories of Ryunosuke Akutagawa with some horror and supernatural elements (check out his short story called 'Hell Screen') and that can be a great game.