Well, first of all, it's the unexpected twists. In a 'fake but scary story', when you think one thing is going to happen, and then something completely different and scary occurs, it gets you. For example, a character is exploring an old castle thinking it's just a normal adventure, but then they find a hidden room full of grotesque creatures that seem to be waiting for them. Also, the use of our primal fears like the fear of the dark or fear of being watched. If a story has a character constantly feeling like they're being watched in a dark, empty building, it can be really effective. And finally, the way the story builds tension. It slowly makes you more and more on edge until the climax, which is often something really scary even though it's all made up.
One element is the unknown. In a fake but scary story, when things are not fully explained, it makes our minds race. For example, in a story about a strange noise in an old attic, not knowing what's causing it creates fear. Another element is the violation of the normal. If a story has something that goes against what we consider normal, like a person with eyes all over their body in a story, it scares us. Also, the atmosphere plays a big role. A spooky setting, like a dark forest or an abandoned asylum in the story, can make it seem scarier even if it's not real.