I think that documentaries are scary because they are supposed to talk about real life (and I say "supposed to" because they manipulate the truth). Netflix's Fyre festival documentary is very scary, if you put yourself in the party-goers' shoes. They also say that Tiger King and Wild, Wild Country are very creepy, but I didn't watch them yet.
If you liked Requiem for a Dream, you should try Perfect Blue--if you still hadn't. Aronofsky literally bought the rights for this movie, so he could copy it, which he did in Requiem for a Dream and Black Swan.
You mentioned it being basically a drama. Well, South-korean thrillers are also basically dramas. They can be scary, sad and funny at the same time. For starters, try The Wailing and I Saw the Devil (my favorite Korean movies of all time).
Movies that depict harsh realities may also be very scary, because you know it's happening somewhere, with someone. Off the top of my head, I'd suggest two Brazilian movies, Elite Squad and City of God; a Estonian movie called Klass; and a Russian-swedish movie called Lilya 4-ever.
Ok. I guess that's plenty for now.