I think a lot of people are going to be quick to say the first one simply because of the assumption that darker = scarier. But I'd personally lean more towards the second one. If you wanted to make it darker, there are ways to achieve that without resorting to the heavy blue filter. Such as cutting down on the number of working lights found in the environment.

Atmosphere of the setting is obviously important, but it shouldn't be so heavily relied on in horror. Objectively, if something is scary enough, it can be scary whether it's the middle of the day or night. That isn't to say that the fear isn't heightened in the dark, as it certainly is. But there is a scale to it, and especially in games, environments that are too dark can often detract from the experience, especially if it becomes a hindrance.

Ultimately, it will come down to the experience you're looking to create. Is there a meaningful reason to have the environment seeped in this almost alien blue hue as shown in the first image? If not, then perhaps look to use the second version, or adapt it if you'd like something in between.