I don't know. It might be a unique name someone made up for something related to 'American Horror Story'. Maybe it refers to a character they created in their mind while watching the show.
Since there is no official 'Mr American Horror Story', it could potentially be a name given to a specific horror - themed event or attraction that is inspired by the 'American Horror Story' franchise. For instance, if there was a haunted house experience that was designed to mimic the feel and style of the show, the organizer or the main person behind it could be called 'Mr American Horror Story' in a promotional or fan - given way.