I don't honestly think so. There are definitely elements of Majora's Mask that ring darker than some of its predecessors, but I don't think it's the most horrifying game. Lore-wise, that is. It absolutely has the grungiest graphics. I actually think, personally, that The Legend of Zelda: Link's Awakening is the more macabre game. The graphics are obviously more colorful and cutesy (especially considering the Switch version), but I think the story is a lot more existentially horrifying. I won't go into detail here because I want to avoid spoiling the game for people who haven't played it, but it shares some common themes with Majora's Mask, only slightly different.