I think open world horror could be done very well. The trick would be to keep the horror aspects rare enough that they have impact, and dangerous enough that they have impact. There have been games that have included great horror frights without being horror games, like Dark Souls and turning a corner to be jumped by some ghastly creature. Morrowind also had frights when you entered a dungeon and encountered something that totally overpowered you, although that wasn't quite horror.
So I can envision a survival game where you have to loot homes for resources, and there can be evil spirits or whatever within. With moody lighting and sounds, the tension could be kept up as needed. There'd have to be rests to prevent fatigue, and you could also interject horror events into that.