I had a few(heh) ideas, trying to go into classic horror archetypes that aren't already delved into.
-A ghost girl, similar to the Ring or the Grudge, though probably with a more differentiated design. Could utilize their flight, phasing, invisibility, all that ghostly stuff, as well as some sort of trickery/telekinesis esque moves?
-Witch and/or spider. Basically the last "Halloween decoration" they don't have. They have vampires, werewolves, mummies, Frankenstein's monster, Lord Raptor is a skeleton/zombie, Hsien-Ko is a (much cuter) zombie. Maybe Tessa from Red Earth can be the witch, but if they can come up with something new, that's cool, too. I guess pumpkins/Jack-O-Lanterns or scarecrows, too, maybe, but I haven't got as big ideas there that don't just sort of rip off Jack Skellington or Batman's Scarecrow.
-Phantom of the Opera and/or Dr. Jekyll & Mr. Hyde. Basically the last big traditional literary or Universal horror ones they haven't done yet. A Phantom guy could be a sort of rock opera/"piano God" rival to Lord Raptor, with a more flamboyant and flashy style. Dr. Jekyll & Mr. Hyde could inspire a sort of mad scientist stance change/transforming character who has a big beastly form. I would've also said the Invisible Man, but what can you do there that a ghost couldn't?
-Demon lady. Straight up, fire, pitchfork, summons little goblin demons, all that stuff. Maybe she could be Pyron's daughter?
-A more typical alien invader, like Crypto from Destroy All Humans or the Mars Attacks ones. Not quite Universal/gothic horror, but it fits with old movie monsters in general.
-A "scream queen"/last girl type with an inadvertent psychic connection to three other slashers that she summons for attacks. Wanted to incorporate slashers in a less standard way. Maybe she can be combined with the ghost girl. The three she'd have on command would be a killer doll (maybe a teddy bear to be different enough), a more tricky one like your Freddy Krueger, Candyman, Pinhead, what-have-you, and a big lumbering one like Jason Voorhees, Michael Myers, or even CAPCOM's own Nemesis, somewhat. These could all be separated into their own characters if that got too complicated, though, just figure out more ways for them to be original compared to just straight up having knock-off Chucky, Freddy, Jason, etc.
-A little ghoul/goblin/gremlin/Rumplestilskin type guy. Yea
-A harpy/tengu/flying bird woman.
-Sort of overlaps with BB Hood's attitude, but in a different way, I might like to see a guy who's mostly just a guy, but utilizes a lot of craftiness and various different weapons/common objects. Something like Hannibal Lecter, Dexter Morgan, Patrick Bateman, etc.
-Because Jaws is such a big horror move, and there's no end of oceanic horror movies, perhaps a big shark dude (or shark girl?) could be something?
-King Kong and Godzilla are also the big "big monsters"/kaiju types, and apes and lizards/dinos are common enough in general, although Sasquatch is already an ape, I guess. Maybe, in some way, a giant animal of some sort. Maybe they're a giant boss similar to some of the MVC bosses.
-Another giant boss idea could be a slowly growing more abstract Eldritch entity, rivaling Pyron and Jedah in power.
-A few I don't have as much to say on: cyclops, Medusa/naga, slime/muck monster, evil clown, Headless Horseman, various yokai, possessed kid.
Surprisingly a lot of ground they could still cover, especially if they move further on throughout horror history. Also Ruby Heart and Amingo seemed like Darkstalkers characters, and one of them was said to almost have been one, IIRC, so add them in. Not like they'll get to do much else. If you want a big publicity boost, Dante and/or Vergil could show up, as well. Arthur or Firebrand, too, maybe. Maybe not Resident Evil, since that world is on too different of a power level, but Frank West from Dead Rising could show up, given how odd that series can be. But there are a lot of original ideas to be had, so maybe avoid it just being a CAPCOM Allstars game, which is a separate thing.