Horror and escapist fantasy seem to match nicely as themes in fiction. There's a psychotheurapeutic reason to think they might. I can name two examples of fiction where they match well. When both themes are present they support each other in interesting ways.
Already Free suggests one reason these things should go together. The book explores (tangentially, in one chapter) an idea of a neurosis as a way of preserving a fantasy from reality. The book describes one form of neurosis as manipulating reality so that something you're afraid of doesn't come up, thus letting you keep some fantasy about the way things are. For example, if Alice knows Bob as a friend and Bob wants to be more, maybe Alice has a fantasy of "We're just friends, and we agree about that." Alice might preserve that by staying out of situations where Bob might express his interest explicitly.
Two examples of fiction where themes of horror and escapist fantasy seem to go together:
- Doki Doki Literature Club. Why it's horror is spoilers. I don't have to explain the escapist fantasy part.
- OMORI. It's clearly got horror elements between the ghosts, the bloody sketches, the suicide, and other gruesome things popping in. Meanwhile, the crazy color adventure world seems to be an escapist fantasy for Omori — although it's also a nice pleasant place to be compared with the slightly unnerving other parts of the game.
I suspect may be more examples if I knew where to look.
I think it's interesting how the themes function in relation to one another in these stories. The horror theme grounds the escapist fantasy theme. It makes the story no longer just a fantasy. You could say it legitimizes the fantasy, and that's true. It also makes the story more interesting. The escapist fantasy theme creates space for the horror theme to build tension — it's hard for the horror theme to build momentum without moments to breathe. So the two themes support each other.