While in that context, it seems like an odd idea, at the same time, that was pretty much the impetus behind the toys in Toy Story being frightening to that one kid, right?
And "the West" doesn't have monolithic views on sex, marriage and whatnot. There's an awful lot of variety.
In my opinion, good horror is less about the concept of the monster than it is about the execution of the horror elements, though. And that's the part of it that translates across cultures pretty universally, IME.
I can grok that. The umbrella monster is scary because it's a monster that just jumped out at me, not because it's really an angry spirit that transmogrified from an umbrella.
The origin of the spirit is a clue to killing it (or running away), and not relevant to the fact that it has bitten my arm, and that kind of hurts.
Since your building a j-horror product for gamers, more gamers are familiar with other cultures, so I don't think its going to be a huge problem. Not that the average joe-gamer who watches anime will actually know all this stuff, but that he will be receptive to it, and probably interested in digging into the origin of the monster as a part of play.
Whats probably more important an issue, in your game setting, is the possibility of victory. In most horror (game or not), the protagonists lose. That's not the American Way.
This is why in Supernatural, the Winchester boys kill the BBEG at the end of nearly every episode.
When CoC came out, it was probably one of the first games where loss of character almost turned into the point (comically so in some circles).
I suspect that guarranteed defeat for each session would turn things to be pointless, and diminish the horror.
Whereas, like CoC was designed, the goal of the PC is to survive the horror, though each act they take can come at a cost (sanity). So you might survive the episode, but not the campaign.
Your mileage may vary, but I suspect you've got the themes nailed down and they'll probably work on an american gamer audience.