I actually wrote a horror/western ages ago.
Cowboys and Aliens was such a disaster that no studio is interested in genre hybrid westerns. There's a few on the indie side, like Bone Tomahawk. Westerns are not cost prohibitive to make, so they already have that going against them. No studio WANTS to make them. That's why the ones we get are almost always prestige projects.
Combining that with a second genre? Financiers just short circuit.
It's a bummer cause you have all sorts of things-- weird frontier cults, Indian spirits and folklore, Victorian era ghost stories-- that's why AHS would actually be great for a western. It wouldn't be out of line for them to throw everything in.