(Image spoilered for painting with fairly tame body horror.) Really any World of Darkness media is exactly this. Obviously Vampire: The Masquerade, but there's also Red Embrace: Hollywood. It's a visual novel with vampires but very much not the sparkly kind. I don't think there are any good endings and it's not "edgy" sad, it's seriously depressing. 10/10 would allow it to make me ponder the futility of life and wretchedness of humanity again. >Clive Barker
Check out The Great and Secret Show, Books of Blood and Cabal. >Thomas Ligotti
Maybe start with Teatro Grottesco. >Penny Dreadful
Set in an earlier time than what you're looking for, but it has the debauched, violent, decaying elegance you're after.