
Although it does not contain any supernatural elements, le Cirque de Soir is pretty gritty and the way it is visually portrayed is like a horrifying acid trip for a vast majority of the time and not to mention, the ringmaster pimps out several of the performers.
Copernicus Breathing may or may not fit neatly into this trope.
Cat Soup has one, featuring a woman getting dismembered and a giant bird that's swallowed clouds (that ends up causing a flood). The third opening of (Goku) Sayonara, Zetsubou-Sensei. In Tite Kubo's short lived Zombie Powder, Balmunk has a Circus of Pain/Fear that just springs up from the ground. It doesn't matter that the circus loses performers or that the audience witness these horrors, since every single spectator will become part of it. Another short manga by Junji Ito, Circus ga Kita also has a travelling circus where performers die one by one during the show. Near the end of the ultra- squick horror manga Gyo, the protagonist visits a circus where all the acts are composed of or powered by victims of the "death stench" gas-producing virus that has ravaged Japan. Needless to say, what starts off as your average circus with jugglers, tightrope walkers, and acrobats turns much darker as we learn about the secrets behind it. Black Butler has a whole arc in the manga where Ciel and Sebastian join Noah's Circus to investigate the whereabouts of children that have gone missing. Sadly, it was cancelled due to the main story taking up much more time than expected. There were hints of something called a "Nightmare Circus" sub-arc within the Mahorafest arc of Negima! Magister Negi Magi. It used to be a normal circus, but years of wear turned it into this and it turns the citizens of the towns it visits into its new performers. The titular Robot Carnival is one of these. It's also called Space Land, and can be seen as a mockery of Bebop itself. In episode 20 of Cowboy Bebop, Spike faces off against Mad Pierrot in a creepy circus inspired by Batman: The Animated Series. Buggy the Clown's pirate crew from One Piece. If the name hasn't clued you in, the henchmen are all dressed like circus performers, and the Monsters of the Week (called Lemures) are themed after circus acts, props and animals.