Question: Has there ever been a gay horror movie?

Answer: Sure. Off the top of my head there's the gay-themed slasher movie Hellbent (2005) and its lesbian counterpart, Make a Wish (2003). Veteran exploitation filmmaker David DeCoteau has made a whole line of homoerotic horror pictures, including Voodoo Academy, The Brotherhood series and Wolves of Wall Street. The same-sex eroticism is toned down in the film version of Interview with the Vampire (1994), but it's still pretty clear. Lesbian-themed vampire movies are a dime a dozen, from Dracula's Daughter(1936) to Blood and Roses (1960) and Vampyres (1975). And I suppose you could count Gods and Monsters (1998), which revolves around gay filmmaker James Whale, who directed Frankenstein (1931) and Bride of Frankenstein (1935).