Poppy Z. Brite's works often have elements of both horror and the erotic in short story form. For example, some of her stories in collections like 'Lost Souls' deal with themes of vampirism and other dark, sexualized concepts. Her writing style is very detailed and she has a knack for creating a sense of unease while also exploring the more sensual aspects of her dark themes.
Clive Barker's 'Books of Blood' also has some stories that might fit this description. His writing is known for its vivid and grotesque horror, and at times, there are undertones of the erotic within the disturbing scenarios he creates. The short stories in this collection are very intense and can be quite thought - provoking in their exploration of the boundaries between fear and desire.
One such book could be 'The Bloody Chamber' by Angela Carter. It contains short stories that blend elements of erotica and horror in a very unique way. The stories often re - imagine classic fairy tales with a dark, sexual, and macabre twist.