I have a lot of recommendations that all are at least a little bit mysterious and/or grotesque, but besides that a lot of them are pretty different from one another, so they may not all appeal to you. I've tried to give a good description of them so you can pick which ones you would like the best. (:
CUPID - Supernatural sort of murder mystery that jumps back and forth through time as the protagonist struggles with the murder of her best friend. Has 18+ content but can be turned off in the settings menu. There is romance but not in a dating sim sort of way; it's very dark romance and it is 100% a part of the story. A longer game, took me I think 4ish hours to get one ending and if I remember right there are 5 or 6 endings. This was the first one to come to mind when I read your post so it might be the best fit for what you're looking for (I don't know exactly what your taste is though so I can't say for sure).
Doll - Creepy little game about a doll trying to return home before it's too late. Very short game, about 10 minutes to get an ending and there are 5 endings.
Funeral - Short existential horror game about a funeral. Has choices but they don't affect the outcome, about 20 minutes of playtime.
Occult Crime Police - Least grotesque/existential of all the ones on this list, but it is a pure mystery game and a really fun one at that. Has some gameplay elements that tie in with the mystery aspect. Kind of wacky but a great story. Longer game, took me 3 or 4 hours to complete. One of my personal favorites on this list.
Order A Pizza - Honestly, I kind of don't know how to explain this one but you have to order the pizza or everything goes horribly wrong. Point-and-click elements. Short-ish game, took me maybe half an hour? Another one of my favorites on the list.
Palette Swap - A little less mystery and maybe not exactly "grotesque" but it is surreal/existential. Dark comedy, so it's good if you like laughter on the side. I don't remember how long it took me to get one ending but it was a few hours to get all of them. Also has optional point-and-click elements that expand upon the story but they aren't necessary to achieve any of the endings.
RE:BURN - Short horror game about deleting emails. I would guess maybe 20 or 30 minutes for one ending, and there are two endings total.
Sylvan Disappearance - Fantasy/supernatural/mystery VN. There are no choices, but you can read letters from the other characters and choose whether or not to read and respond to them; I'm not sure how much this affects the ending as I just chose to respond to every letter. This one does have some romance elements that are unrelated to the mystery, but I didn't think they were too obtrusive and the mystery is still the main focus. Longer game, I think it took me around 6 hours to complete? Probably my #1 favorite of this list (although that's a pretty hard decision so if I think about it too much I might delete this sentence haha).
Who Is Mike? - Same developer as CUPID, so if you like one or both of these, maybe check out their other work? I haven't played any of their other stuff so I can't recommend it for sure but I do like both of these. This one is a short, high-stakes mystery about a man and his doppelganger. Doesn't take too long to get one ending but it can take quite a while to get all the endings (there are a lot).