I'd say, there are things you can do to create the feeling of Lovecraftian horror (which is not all cosmic horror; body horror and paranoia are much more common) in video games but I am unsure they would work in Warcraft. Take the example of Samuel Williams in Stormsong Valley back in BfA; in a more realistic aesthetic and a different RPG format that story absolutely could work. But the cartoony aesthetic of WoW may work for so much but it absolutely dampens the body horror of what is happening to him (just as it did to places like Scholomance that would have definitely not been suitable for children in a more realistic art style). And the fact that we are in an MMO format which means you can always just drop the quest and do it later and some random dude in a clown suit might be jumping around you while you are questing keeps the immersion minimal.