Well, I know that 'American Horror Story' has a large cast and many different storylines. Grace Gummer might have played a character that was part of one of the more unique and spooky story arcs. Maybe she was a victim, or perhaps she was part of the horror - causing element in the story. However, without more research, it's hard to say for sure.
I'm not sure specifically which role she played in 'American Horror Story' without looking it up. There are many different characters in the various seasons of the show.