As Dan Bron said, the proper term is lovecraftian, which actually refers to a horror sub-genre which deals with the terror of the unknown and sometimes unknowable. While it technically means related to the work of the American horror writer, H.P. Lovecraft, it usually refers to that style of horror.
Lovecraftian horror is a sub-genre of horror fiction that emphasizes the cosmic horror of the unknown (and in some cases, unknowable) more than gore or other elements of shock, though these may still be present. It is named after American author H. P. Lovecraft (1890–1937). From Wikipedia
However, some also use it to extreme tentacle-y, misplaced limbs and appendage style horror as well, so might not always work.
If not, paranoia might work. It sounds good enough for a genre, and it means:
par·a·noi·a : suspicion and mistrust (of people or their actions) without evidence or justification.