Some names could be 'The Abyss of Fear'. The 'abyss' gives the idea of a bottomless, terrifying place, and 'fear' is the core of horror. 'Screams in the Silence' is another possibility. The contrast between the screams (horror) and the silence (a bit of mystery and the calm before the storm) can be very effective. 'The Dark Possession' might also be suitable. It implies that something evil has taken hold, which is a common theme in horror stories.
How about 'The Enigma of Evil'? This name plays on the mystery of evil, which is often a central theme in horror. 'Shadowed Demise' gives the sense of a death that is surrounded by shadows, both literally and metaphorically. 'Deadly Reverie' is also interesting. It combines the idea of something deadly with a sort of dream - like or trance - like state, which can be quite spooky.
Ava. This name can be used to create a character who seems sweet and innocent at first but is actually involved in something much darker. In a horror story, Ava might be luring people into a trap set by a malevolent force.
Luna. It has an otherworldly feel, like she could be a character with a mysterious past in the horror story. Maybe she's a girl who can see ghosts and Luna gives that sense of a connection to the night and the unknown.
Ella. A simple name that can be made spooky. Ella could be a girl who is constantly followed by a malevolent shadow in the horror story. The name gives an impression of vulnerability, which is perfect for a horror character.
Ophelia. It has a tragic and ghostly connotation. In a horror context, Ophelia could be a girl who has been haunted by a family curse or is a victim of some dark magic, her name adding to the overall sense of doom and gloom in the story.
How about 'Ella Blackwood'? The name 'Ella' gives a sense of femininity and vulnerability, while 'Blackwood' has a spooky, dark forest kind of feel. Another could be 'Victor Grimshaw'. 'Victor' is a strong but can be a bit old - fashioned name, and 'Grimshaw' just sounds menacing. And 'Luna Shadows', 'Luna' is often associated with the moon which has a lot of horror connotations like werewolves, and 'Shadows' adds to the eerie atmosphere.
Damien. It has a very dark and menacing feel, often associated with the devil in some horror concepts. Another one could be Cain, as in the story of Cain and Abel, which has a sense of primal sin and violence. And then there's Lucifer, which is a very obvious choice for a horror - related name as it is directly related to the devil in many religious and horror stories.
Well, it depends on the theme and plot of your story. Maybe 'Frightened Souls' if it involves ghostly encounters, or 'The Darkness Within' if it's more about inner fears coming to life.
Cursed Reverie. 'Cursed' is a very strong word for horror, indicating that there is some sort of malevolent force at work. 'Reverie' which means a state of being lost in thought, gives the sense that the characters are trapped in a nightmarish dream - like state.