I'd say it's really just the gore that makes those characters translate so smoothly. MK is more action than anything (Spawn, Joker, Rambo and Terminator have also been on rosters). But in terms of the underlying concepts, you could DEFINITELY make some horror based content. Scorpion is a vengeful demon, Shang Tsung is a shapeshifter who eats souls, and it's a universe where the gods actively fight over whether or not to destroy humanity...plus Quan Chi and Baraka.
If we're talking fighting game franchises that roll with horror, Darkstalkers needs to be revived and it bugs me that it hasn't been brought back. It was literally a collection of monsters from around the globe and it had dope designs. Samurai Showdown got a reboot but Darkstalkers and Fatal Fury can't get love? I need those back.
There was also a horror fighting game that was so violent it got banned and never released. It was called Thrill Kill and eventually they toned down the violence and horror, overlayed it with hip hop and ninjas, then made all the character Wu-Tang Clan members. So the slept on PSOne classic fighting game Wu-Tang Shaolin Style came out of the ashes of a coulda-been horror/fighting crossover classic.