Cosmic horror is typically about the fear of unfamiliar, alien entities who can confound individual humans with their power and relatively bizarre appearances. While many descriptions of traditional cosmic horror philosophically err as they treat the eldritch beings as outside of reason itself, an utter impossibility due to the necessary nature of reason, practically all of them acknowledge the existential, epistemological nature of the genre. Lovecraft, the author who popularized the genre, used the eldritch pseudo-"deities" like Cthulhu as manifestations of human powerlessness, ignorance, and insignificance. The implications of his atheism are blatantly present.
In a work of religious cosmic horror, though, the focus would not be placed on the nihilistic ramifications of an amoral existence and the helplessness of humans before the "Great Old Ones" and "Elder Gods," but on the terror of confronting the existence of an actual deity or demon that is more closely connected to moral metaphysics than humans could ever be. Being on the wrong side of a moral universe could be just as terrifying as living in a universe where there is no cosmic meaning or moral authority to appeal to: the experience of terror is subjective, but the wrath of a true deity whose moral nature has been disregarded would not be something to scoff at.
Despite the great potential of cosmic horror with an explicitly religious context, the genre is almost always associated with atheistic or agnostic ideologies, hence the respective nihilistic or absurdist themes of some cosmic horror stories. Adding religious themes, whether pertaining to Christianity or to an alternate deity that presides over the story's mythos, would remove the default nihilism--though perhaps not any absurdism due to absurdism being about epistemological skepticism of meaning--from most nonreligious cosmic horror, as many forms of theism exclude the possibility of an amoral existence. However, they would bring a different kind of terror to the plot.
It would terrify many to learn of eldritch beings that could purge humanity from existence with trivial effort and no concern for the lives they would therefore end. It would also easily terrify many to learn that the uncaused cause has a moral nature that renders mere feelings about morality based in conscience or social consensus irrelevant, that no human thought or deed is concealed from it, and that it would not turn away from its just nature. Morality would only be the obligations rooted in its character, so human preferences have no value (it is logically impossible for human moral preferences to have value regardless of whether the uncaused cause, or God, has a moral or amoral nature).
In this way, theological cosmic horror is far from an oxymoron or thematically conflicted subgenre. Religious conceptions of God are not antithetical to horror in any way in themselves! Horror as a whole is deeply affiliated with a theistic kind of supernaturalism, and both theism and cosmic horror interact with philosophically important issues that easily overlap. Religious cosmic horror is brimming with opportunities for storytellers to convey grand philosophical concepts and truths that themselves lend well to the potential drama of horror.
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