Uh not sure if I'd be of that much help since all of the ones I'm thinking of came out in the 1980s and they're probably out of print now. Some of the original CYOA books had horror themes, pretty obvious which ones based on some of the titles.
Off the top of my head which I know are digital download there's House of Hell, Blood of the Zombies by the Fighting Fantasy series.
I just found this: Always Choose Cthulhu
I guess it's a series of CYOAs based on various Lovecraft stories. Might be worth checking out.
I know Mara mentioned a Goosebumps CYOA series. I never read those, but I'm guessing they fit the bill.