In my many conversations with Americans, Europeans, and Central Asians I have noticed certain geographic themes in horror stories by region.
The United States and Canada: Horror stories in the United States and Canada mirror traditional horror from Europe. Most of the stories take place in the wilderness (cabins in the woods, farms) or in meeting zones between wilderness and urban cities (abandon urban places where nature is reasserting itself, Indian burial grounds now covered by suburbia). There has been a shift towards urban horror with vampires, ghosts, and some zombie movies but this is still a minority of horror stories.
The strength of rural horror seems to rely on the fact that the United States and Canada are both heavily urban societies but have low overall population densities. This allows for black spots on mental horror maps which grant murderers, spirits, monsters, and aliens to run and fly without being seen.
Europe: Traditional horror stories from Europe were rural affairs. Werewolves and witches gathered in nature. The city and village, meanwhile, formed a Christian civilization buffer zone against evil. The Industrial Revolution changed everything. The popularity of wild werewolves and their ilk fell while the ghosts who were wronged and did wrong became popular with the English and various monsters from continental fairy tales merely moved into the city. Many English and continental horror stories also adopted xenophobic undertones with reverse colonization being a major fear (Dracula).
The cities are the overwhelmingly dominant place for horror in Western Europe while Eastern Europe and Scandinavia still have a place for some rural horror. Norway and Sweden, with their high urbanization rates yet low population densities, are equally divided between their rural Troll Hunters and urban Let the Right One Ins. Meanwhile, Russia only recently transferred from retelling fairy tales to modern horror in urban settings like Night Watch.
Central Asia: My time in Afghanistan taught me that traditional Muslims can hold the belief that some places are meant for Djinns, smokeless fire beings, and not humans. But instead of being terrified that these creatures are neighbors, traditional Muslims accept this fact and attempt to be good neighbors. It would be like having a vampire as a neighbor and instead of worrying about the proximity of a bloodsucker to your family you would be more concerned about keeping the kids off its lawn and hoping the vampire does not vote for the opposite political party.
Central Asians did not seem to fear the wilderness. I assessed this to be a combination of nomadic roots and the fact that while there are dangerous things like bandits in the wilderness many normal Central Asians can be as equally tough and barbaric against rogues. Village and urban living is fairly new to many parts of Central Asia and the practice of building qalats, walled compounds for families, remains the norm. It is not surprising that all the "ghost" stories I heard told by Afghans and Pakistanis involved Djinn invading the qalat. The qalat's walls, acting as a guardian against the wild, being breached terrified many Central Asians I talked to. I wondered if this contributed to the strong disgust Afghans, even anti-Taliban Afghans, had against special forces night raids on Taliban members' qalats.