Some of YouTube interactive video games belong to a horror segment. But first, let me explain to you, what exactly these interactive games are and how can you make one of them.
I wasn't aware of the presence of interactive video games on YouTube, which btw do exist there for some time now. The idea behind this is to make a video and then overlay links and text over it. The user will play the video and at some point will have to choose between several options by clicking on the links displayed over the video. The link basically leads a user to a new video segment, but the player remains on the same youtube page, which makes the whole process transparent and gives it that 'playing a real game' feeling. You don't get redirected to another youtube page, which is crucial. It all feels as if you played a regular game, which this, of course, is not. I mean you still can't move characters around the page or shoot not anything like that. It's restricted to a basic interaction, as you would find in quiz-like and trivia games, or in multiple choice simulations, text adventures and so on...
Unfortunately, starting in May 2017, Google announced that they will stop support for video makers to overlay text links, so at this point, the 'youtube video games' will go to a history. They (Google) will allow existing videos to play as they used to, but making any new such videos won't be allowed anymore.
So, that being said, I admit that this might not be exactly the best moment to share this information about 'youtube games' with you since they soon will belong to a history, but I still wanted to give you a shout, so here they are. The list of interactive horror youtube games.
Jumpscare Trivia Game - ( RIP Annotation Videos )
A KNOCK AT THE DOOR - Interactive Horror Story
Edit: Even though I earlier said that these game should not redirect to a new youtube page, it is not entirely the case. For instance, in Interactive Horror Story or Slender, do get you redirected. :( Sorry about that My bad.