Nintendo is the Grandmaster of surprise creepy. Just think about it for a while:
Splatoon and Pikmin: In both cases in the backstory, humanity drove itself to extinction. Additionally, Pikmin has several enemies which qualify, such as the Waterwraith.
Splatoon 2 has the Octo expansion where
you almost get pureed in a Blender. That wouldn't be so bad unless you keep in mind that you're the first in over 10.000 individuals who escaped. Quite a creepy analogy to the holocaust.
Kirby: Has quite some real Eldritch abomination bosses.
Mario Galaxy 2:
All for nothing, the whole Mario Galaxy gets swallowed by a massive black hole - and anything alive on them with it
Super Paper Mario:
Mario is too late, one World gets completely destroyed, leaving just a white landscape of nothingness
; Mimi's transformation sequence; some parts of the Underwhere can be this; Count Bleck's castle and the final boss; also Mimi's extortion house if you think about it, after all what she's doing is basically put everybody into slavery.
Mario Strikers Charged!: As the backstory details, the games got so violent that everybody (except Boo) needs to wear heavy armor and the supportes kept behind an electrified energy field. Playing with a metal soccer ball doesn't help, either. Also has quite some post-apocalyptic vibe: https://www.youtube.com/watch?v=XBinxNwAN5s
The whole plot of Majora's Mask
Earthbound becomes more and more of a mind screw the further you are in the game. And then comes the final boss fight...
But since we are talking about Yoshi in the OP: Just think about the backstory and the implications of Yoshi's Woolly World: Kamek transforms all the Yoshis into Wool to weave them into a super comfy castle for baby Bowser. Bowsers Castle being made out of Yoshis, just let that sink in!
Edit: Here's Mimi's transformation sequence in Super Paper Mario. Has quite an Exorcist vibe:
Pikmin in general, actually. Waterwraith scared the piss out of me the first time I played, definitely the worst enemy. And yes, the whole obvious allusions to humanity's extinction is unsettling. But do you remember the premise of Pikmin 1? That you would suffocate to death if you didn't escape in time? Do you remember
that there was an ending to the game that showed that happening? I mean it doesn't show the actual suffocation, but it does show the Pikmin dragging your corpse to the Onion to convert you to food. Except instead it turns you into a Pikmin, and there's no one to pick you, so you just sit there as a plant that can think and feel. So they tried to eat you, but instead put you into an "I have no mouth but I must scream" scenario.
That game is not afraid of death. All those little Pikmin dying horribly, eaten alive, electrocuted, burnt to a crisp, drowned, choking on poison, etc. and their sad little souls just float away looking betrayed. Then there's the final boss of Pikmin 2 where it's implied that
Louie was fine the whole time somehow, regardless of how long you took to find him, and had hijacked the final boss' brain and was therefore the one in control of the final boss when it attacked you.
For Kirby, I'd say Marx had to be the creepiest, and Ultimate expanded on him wonderfully adding lots of creepy but totally in character attacks.
For Paper Mario, Mimi definitely deserves mention, but TTYD also gets super dark at times, like when Mario
gets erased from existence by a doppleganger monster that steals your looks, turns you into a literal shadow, takes everyone's memories of you, even takes your ability to say your name, totally erasing your existence.
Or that time
when a dragon eats most of the audience to heal itself. There were Toads in that audience.
Or how about when Princess Peach
is possessed by a demon and attacks you by dragging you into the earth with the undead hands of lost souls, and then consumes the souls of the audience for nourishment?
In that same scene,
the demon offers you to become her slave, and if you accept, you get a bad ending in which the demon takes over the planet enslaving everyone.
And then Earthbound is a whole other level of mindfuck at the end. Nothing Nintendo has ever done can touch whatever the fuck that was.