Do we always use the term "horror" correctly?
The idea of "Christian horror" made me scan my mind for good examples, and immediately I thought of a few that don't qualify. First, I thought of parts of C.S. Lewis's space trilogy that I happened to find scary (hero is stuck in a cave with a devil-possessed corpse mocking him at one point, if I remember correctly). But those aren't horror stories. They're adventure tales, "romances" as Lewis called them using the old-fashioned definition of the term, that happen to contain a few scary and suspenseful passages.
True horror challenges the reader with a skewed look at the world. It's more than scary moments added to an adventure tale. Horror reaches inside and gives the reader a thrill ride based on that horror. They read it with the expectation of entering the dark side of life, even some irrational dark side they don't believe in... in fact, the more irrational, the better the horror. A good horror story might dole out the gore, violence, and other ostensibly evil moments in small doses to merit better suspense; yet the underlying universe of that story is supposed to support that dark nightmare content, as if it's inevitable and always waiting in the background, as if the reader might turn around and see the same thing happening outside his/her own window. Some would argue that's the whole point of a horror story, including the fair share of horror stories with a somewhat happy ending (e.g. where the main characters escape the immediate danger).
So I'd suggest that a horror story is different from a story containing horror. Passion of the Christ is borderline horror to me, but I have other issues with that film that separate it from a straight depiction of the passion story (pick any other film about Christ), in the way I see it as salivating a bit much over the violence, and presenting a (new) point of view that the degree of superficial horror in Christ's passion was key to its spiritual value. Some Christians would disagree with me on that very point and embrace the horror-view of the Passion, so that may be an exception for some. Otherwise, I can't agree that some biblical tales are horror tales. They merely contain horror scenes.
There's a bit of controversy in most of the circles I've belonged to, whether one can consider a true horror tale a wholesome endeavour either as a reader or a writer. I for one enjoy it now and then, in writing and film alike. There are many explanations for what's "good" about horror, psychologically, culturally, and so on, that I won't get into... but if horror means a tale is actually immersed in a skewed world view, I can see how it's difficult to define a thing like "Christian horror."