I think one problem that needs to be dealt with is the issue of lethality. The characters need to be very vulnerable, but since it's all about the specific characters identity, you can't really afford to lose them.
Unfortunately, the one method to create tension that worked best for me, and that is used by most horror videogames, is to slowly sap away the characters resources and making it difficult to regain strength.
Playing with a 1st level group without healer or potion against very weak critters in Castles & Crusades led to a very exciting game. The fighter could take a lot of hits, but with each one every new encounter became more and more dangerous and they had to be increasingly careful.
Creating tension in a horror game when the PCs can't die would be quite difficult.