Are you talking about something similar to De Profundis?
I don't have a lot of playtime with De Profundis, but my experience is that we spent a lot more time talking about the concepts of De Profundis than our actual "creepy-pasta" - which never became defined enough for us to go anywhere - involving the weather turning unseasonably cold and the population of already small town getting smaller with no one talking about it but one of the characters, who was currently suffering severe depression after his mother's death. So it was the kind of thing that could have been quite strong, but I think the early stages needed a bit more momentum than we had given it.
Anyone interested in starting up a group?
I think I would be interested. Has been awhile since I've done any PBeM stuff, but the last campaign I was involved in (a bit of an anachronistic AD&D-2nd) went for a fairly strong few years and I kind of miss the interaction of it.