Your story must fulfill the promises it makes, or readers will not enjoy it
Every book begins by creating expectations for the reader. The expectations start with the cover and title, and are built throughout the beginning of the book. If readers do not feel that the book satisfied their expectations, they will find it disappointing.
To illustrate why your idea, as described, is likely to fail, here are some example readers.
Harry loves romance, but hates horror. They were very excited when they saw your book, and immediately began to read it. Upon getting to the twist they dropped it and walked away. Now they refuse to read anything by you, and will encourage all their friends to avoid your books.
Jessica loves horror, but hates romance. They took one look at your book and walked away. They have no interest in reading a fluffy romance, and they'll never get far enough into it to find out they would have liked the book.
Chris loves romance and horror. They saw your book and added it to their "fluffy reading" stack, to save for a nice comfy read some time in the future when they were having a bad day. When they got around to reading it, they were unprepared for the horror and had to put it down. They might have liked the book under other circumstances, but now they associate it with the distress they were feeling that day, and can't finish it.
Alex loves horror and likes romance. They were warned ahead of time about the twist in your book and therefore picked it up eagerly. However, the twist fell flat for them because they knew it was coming, and they only found the book to be mediocre because of it.
Jordan likes horror and romance. They found your book without forewarning, enjoyed the twist, and thinks that this is the greatest book ever written. I guess 1 out of 5 isn't bad?
It's really only 1 out of 4, because Harry was never going to like your book. And of course your potential readership can't be neatly and evenly split between Jessica, Chris, Alex, and Jordan. But I think you see my point. There are a number of ways in which hiding your true genre has the potential to alienate your readership, which is something you absolutely want to avoid.
For further reading, I recommend Fulfilling the Reader's Fantasies on the Writing Excuses Podcast.
A discussion on fulfilling the promises we make to our readers—specifically the genre-specific promises made by the simple fact of where the book is shelved.