I think it's more generically part of the structure of horror that the horror comes from the incursion of the abnormal into a defined normal state. From the point of view of the native inhabitants, most of the colonial era could be seen as a horror story. In a Mage setting, you could do something with the clash of paradigms, but I'm not sure how that works in a Mythos setting. Are there unearthly beings in the catacombs of Paris? Does Western civilization have an overall loss of Stability due to the bleeding of all of Europe's formerly local horrors into a whole? Hm. That's an interesting thought, but it causes other problems. To see something as horrible to colonizers that's normal to the locals is all well and good until the game explicitly sides with the colonizer's perspective. There's more thinking to be done here.