Entirely a horror themed FF? No. If it had a section in it that had inspirations of horror elements, then yes. And I mean scenes like:
- Final Fantasy VII's "Trail of Blood" scene where you are freed from the Shinra HQ prison only to find the title's theme playing, grotesque mutant creatures prowling the empty corridors for the fact that everybody in the area's massacred bodies lie on the floor and a smeared red bloodstain guides you to where you have to go.
- Chrono Trigger's "Magus's Castle", where you find, to the best of my knowledge, tortured souls who were captured by Magus and turned into his monsters against their own will, and the only way you can free them of their torment is to KILL them. Add on to that some mindeffing where your party members are greated by loved ones who ridicule them and reveal themselves to be actual monsters, and it's just pure creepiness. It makes you think that even with whatever redemption Magus gets, he did some pretty TWISTED things to some pretty unfortunate people.
- Chrono Trigger's "Geno Dome", the robot base that basically, other than being the main storage for the Mother Brain computer, also is where the prowling robot forces of the wastelands take their human prisoners to be "unmade" via the "killing machine". When you I first stumbled into that room, it shocked me. You are only limited with sprites, and even without bloodshed(pixel-wise), they still got the grim point across.
- Xenogear's "Soylent System", similar to the "killing machine" of CT, this one not only kills those who go through it(in this case, mutants), it chops them up and cans them so they can be unsuspectingly EATEN by people. Urgh! No doubt inspired by Soylent Green.
Something like above. Those games, the entire story DIDN'T revolve around those parts of the game, but they were still pretty interesting parts nonetheless. Though, that would mean a new FF would have to have more than one sub-event, which I'd welcome fully, though FFXIII itself was, like, the antithesis of that(where the main plot was just that and you couldn't stray from it, even if it meant just a little bit). Though that's all more reason, IMO, to make the story as a whole more twisting full of unexpected turns and unexpected horizons. There's nothing wrong with breaking up the mood by throwing in something totally horrific and creepy, as well as something really lighthearted and whimsical. The best FFs/JRPGs do that.