All PCs are Aristocrats (or sons and daughters of the same) in the higher echelons of society, trying to maintain their façades of respectability in a world of degeneration.

There could be higher than normal amount of disappearances in their social set - or animates, or some other supernatural event, and a nemesis is behind it all.

Although that's a bit more pulp than horror - a tricky GM could have a split personality for one (or more) of the PCs and it is their actions that are causing this. Possibly a PC has a false history - previously being an Undertaker or Mourner, and suffering corruption that changed them. They killed an Aristocrat and took over their identity (pretending to be some relative or other) - which is now their dominant personality. Their subconscious one is the corrupt Undertaker/Mourner bent on bringing down all society one by one.