Terraria base is eh at best, but Calamity's plot would certainly be interesting. A Plague arc, fighting DoG alongside Statis and the other dude, or even just straight-up fighting Yharim and his pet Good Boy would all make for interesting campaigns, not even considering the ability to build a boss off of such epic templates.
Closest things terraria could do for a horror boss would be Moon Lord, Wall of Flesh, Eye and Brain of Chuthulu, and Ocram.
But then Bloodborne exists.
Cosmic horror kind of bosses need to be handled carefully and without too much frequency unless you want them to lose their effect. Especially with higher level parties that will absolutely ruin your boss anyway.