I figure that when horror is written well, it crosses genre lines. But if you want to create a game with two lead characters, that's not a bad idea. Regardless, decide who you want your audience to be, and think about whether they're interested in buying VNs or 2D simulation games for computers.
Zeiva Inc's recent game X-Note is at least borderline horror... it's a serious story about revenge and psychic powers, but at the same time it's a simulation game with several potential love interests.
You may not be interested in survival horror, but you may wish to read TVTropes' current thoughts on
how to (and how not to) write that particular video game genre.
Looking at the site's general list of horror-themed video games, I recognized the name Uninvited. As a graphic adventure game, its emphasis is on puzzles and gameplay. And though it's not the first horror game, it was a product that made me think that horror could be done seriously in a video game. (I bring it up because I wonder how well a combination of room-by-room graphic adventure and romance game would work.)
The Megami Tensei series has been combining horror and serious, difficult gameplay for years. In the last few years, spinoffs such as Persona 3 and 4 have added romance elements to the franchise. I know there's a group of fans who are interested in a similar game with complex gameplay as well as relationship elements.
Some otome games mentioned in the VNDB that seem to include horror elements...
* Bloody Call
* Love Drops ~Miracle Doukyo Monogatari~
* Princess Nightmare
* Queen of Darkness (and a related game, The Second Reproduction)
* Under the Moon
* the Vampire Knight licensed game for DS
And there's probably more I'm forgetting. Unfortunately, I don't play untranslated games, but I'm sure that at least a decent amount of information on these visual novels' stories has been written in English.