>>157961(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 BarkerCheck out The Great and Secret Show, Books of Blood and Cabal.
>Thomas LigottiMaybe start with Teatro Grottesco.
>Penny DreadfulSet in an earlier time than what you're looking for, but it has the debauched, violent, decaying elegance you're after.