I dunno. I mean, a lot of horror stories that are famous for being good talk about stuff that can never be and should never be, but that nonetheless (in-story) is. I think it's that sense of a comforting belief about the world being violated that makes a good horror story, even if the prior probability of that belief being wrong is low.
Poignant short story about truth-seeking that I just found. Quote:
The full thing reads like a flash tour of OB/LW, except it was written in 2001.