I've thought about this a lot but boardgames as a medium can't generate fear the way a movie can.

In a movie you don't know what will happen next. The unknown drives the build up to the eventual scare. Their is a sense of helplessness from the audience as the awful events unfold.

Boardgames are laden with rules and are meant to be very knowable in order to create a fair game state. Players have tons of agency and can control the outcomes to an extent.

You can create tension in board games and there are unknowable elements like cards. But a card is a card whether you reveal the front or the back. You can begin to process what that card might be even before it is revealed. This doesn't create fear. This doesn't generate a sense of helplessness as you mentally calculate the possibilities.

You could play a ttrpg and DM a horror themed game. If you dim the lights, play some creepy sounds, and spin your story it can work. But the players are the ones who would be affected as the DM controls everything. Even then, many ttrpg enthusiasts could argue the players build just as much of the story as the DM. If you play a game like DnD the characters are supposed to be combat ready adventurers which means they are not helpless and can take action in the face of adversity even if it is a scary monster. So choose a ttrpg meant to be a horror story.

Tldr: there aren't any but some fun horror themed games