scary isnt about a super developed complex story as much as it is the atmosphere, although the final goal of the character should be a little scary and success should be uncertain and seem extremely hopeless. nothing can be said and a game can be creepy as hell. the prospect of unforseen death at every corner is kinda frightening because it keeps the player tense and in an "adrenaline like state". The concept of death doesn't have to be cliche violence either.
i'd argue one of the scariest games i've played is pikmin. yea, that colourful cute semi ant-sim game. the graphics, and gameplay don't necessarily make you scared. what's scary is only a few core aspects. you're only given 30 days to collect like 50 parts of your destroyed spaceship. if you don't get all the parts it pretty much means you die because your life support gives out. Days are pretty short so you feel the constant weight of time pressuring you to move forward, but at the same time you don't wanna rush and make brash decisions that'll cause you to lose a lot of your pikmin and be set back even further. so patience is a virtue but also means you take more time/days to accomplish riskier tasks safely. multiple elements make you doubt yourself and your choices, a lot is uncertain and makes you think, "this is hopeless" but you hold onto that little bit of hope.
the main gameplay can get pretty scary at times too. you need to balance out tasks that take time like foraging for new pikmin and plucking pikmin with collecting parts, fighting enemies that might be the way, etc. You will lose hundreds of the cute little guys that you've become reliant and attached to for survival. their death also weighs on you cause they're cute and innocent, so you try to prevent them from being wasted and they don't feel like tools as much as they do comrades, and this can slow you down. if you leave them unaccounted for at the end of the day you see their violent death as they try to catch up to your spaceship as it takes off and get eaten. so theres an element of loosing allies, friends all the time, that's completely because of your mistakes. the camera angle is set high so you dont see danger, and sometimes attacks come at you in unexpected ways, and you hear so many little pikmin screams as half your population gets decimated. you feel for them and fear your own survival because of the setback. enemies are verocious and you need to be very cautious, so slipups can be devistating, and you fear everything. water is also dangerous. there are so many unknowns about the world your in, you get intrigued but at the same time fear what danger comes up next.
it's not about gore, it's just controlling peoples emotions to make them feel the need to be cautious and selfish, and question their own morals blabla. the idea of trying to survive hopeless situations always proves to be a scary goal.