A frame challenge: clashing genres
In a horror story I am writing, it involves the protagonist in another world. It is like an isekai, but it is horror…
I am going to disagree with your genre label – not to 'correct' you, or to pigeonhole your story into some established formula – but to help you decide how to approach it.
Genres are not just a bag of tropes, there are 'rules' to the story-goal itself. The structure, the protagonist's arc, the conflicts and resolutions are going to override any backstory or set-dressing.
As authors we can play with reader expectations (usually at the trope-level, subverting and updating familiar story elements), but we don't get to defy what genres are – we don't get to label our product 'beef Wellington' and then serve fish, readers will flat out correct us and call it fish, at best we'll begrudgingly get "fish Wellington" as some acknowledgement that we dressed up fish to look like the other thing.
The big genres have very different story goals, even when they share tropes, or even when they commit 'trope salad'. Star Wars is structurally a Fantasy story about good and evil wizards, there is not a shred of science and the one technobabble introduced 'midi-clorians' was laughed out of existence.
Sci-fi set dressing on a Fantasy structure feels ultra-fresh until a train wreck of genre clash derails the audience's suspension of disbelief. The villain wizard raising a surprise army of the dead from their graves in the 3rd act of a Fantasy is normal – expected even. But Palpatine raising a zombie fleet of spaceships from … the dirt(?) is too scientifically stupid to suspend disbelief. Fans must go with the Fantasy metaphor (the wizard is so powerful they can alter reality) or the story is just broken since Sci-fi's 'rules' reject such blatant deus ex machina in the 3rd act.
Your story is Dark Fantasy, not Horror.
Genre labels are blurred and subjective. They also drift over time, and are sometimes abused by marketing – no one is going to draw the line in exactly the same place, this includes readers.
Nevertheless, there are differences.
I offer a definition by Lucy Snyder:
Horror is about an intrusion of the frightening and unknown into a mundane, everyday world the reader is familiar with. It doesn’t have to be a present-day world, though; you can easily set a horror novel in a historically-accurate past. The intrusion doesn’t have to be supernatural (a deranged serial killer will do just fine) though it often is.
Dark fantasies have an established setting that is fantastic or
otherworldly. Such a fantastic setting can range from the overt sword
and sorcery of Michael Moorcock’s Elric saga to the subtle magic of
many of Ray Bradbury’s tales to the action-comedy of Buffy the Vampire
Slayer. If you start out in a world where vampires or ghosts or magic
are treated as a “normal” occurance by the characters, it’s a fantasy
She goes on to describe differences in the protagonist: Dark Fantasy has heroes, Horror has victims.
What she calls 'plot' I would call 'story-goal'. She says Dark Fantasy is a roller coaster adventure where the hero gains and loses ground, while Horror is a steadily diminishing world where the protagonist loses hope.
These are clashing story-goals, one is an empowering adventure, the other is a steady loss of agency. They both might have monsters but monsters ultimately mean different things in each story.
Fantasy has lore, Horror is left unexplained
For a hero to win sometimes, you'll need multiple monsters, some stronger than others – that is the start of lore. Now the monsters have a hierarchy among themselves, and it's easy to see how a hero will need to navigate this world.
As writers we will worldbuild so the lore isn't just info dumps before battles – that means travel to exotic lands that are warped by the influence of specific evils. The interesting bits will be in finding the weaknesses and how these evil factions can be turned against each other.
A Fantasy story structure emerges when we plot how to move the protagonist through the world, encountering obstacles and resolving conflict. The story will be episodic, with a longer arc teasing for a 'boss battle' at the climax. Victories may be dystopian, pyrrhic, or otherwise morally compromising, but there are victories.
In Horror, you only need one monster (one type of monster) and it is always overpowered compared to the protagonist, unfairly overpowered. The protagonist is then diminished over time – they are isolated, injured, gas-lit, betrayed. They miss the obvious signs to get the heck out, and ignore blatant omens that would have saved them.
Since the victim's dwindling status becomes the barometer of story progress, every 'win' is actually losing ground. The monster stops attacking because it ate someone, or they find a place that is safe for now by sealing off their only exit. The monster tends to become abstract, even metaphorical, never revealed in full – Horror is not really about punching Dracula in the face so the less corporeal (rigidly defined) the threat the more tense and suspenseful the emotions.
The Horror structure removes hope. Whether it goes all the way to the protagonist's death is more about tone and characterization – survival doesn't make it not Horror.
Tropes will be shared since Dark Fantasy and Horror will share similar morally-framed set-ups, but the pay-offs of each are vastly different. In Dark Fantasy we want an anti-hero kicking demon butt to the curb. In horror it's better to preserve some mystery while we watch the protagonist fall apart.
You might look up some HP Lovecraft – famous for his unspecific 'cosmic' horror – also wrote Dark Fantasy in which his recurring hero Randolph Carter travels to dream worlds populated with ghouls and monsters and gods and etc. The structures are very Fantasy, The Dream-Quest of Unknown Kadath is the most novel-like, but even the short stories are ridiculously lore-heavy as if that was the whole point.
I think you will be able to have horror moments within Dark Fantasy, choosing what to illuminate as necessary, but you can't get around having a hero in a fantastical world at the core of your story.