I think anything cosmic horror like the name implies, would have to either take place in space or between dimensions. Any game that has an enemy that's just really really big, but is small enough that you can just climb on top of it and defeat it or in the case of bloodborne or dank souls just roll around and tickle its feet with a breadknife until it dies. In that sense I feel Cthukhu's depiction in media is usually WAY too fucking small. Cthulhu is not supposed to be small enough that he's the size of a colossus that you can climb on top of. Cthulhu is the size of a fucking mountain. You should have no chance of killing him any more than you would have killing Mt Everest.

Dead Space 3 did a good job portraying an actually cosmic horror, an enemy that is literally just several living planets. If I were tasked to make a video game about an eldritch horror it would be one of two things: Either the game would be something like Uzumaki where the world around you is being twisted and manipulated by something unknown until you finally stumble into the dimension of the eldritch horror and you find that it is not a humanoid comprehensible being but infact the entire dimension itself that is alive and sentient, or alternatively it would be a sci-fi space exploration game (think Eve) where you are fighting off organic infections making asteroids and planets sentient horrors until you eventually stumble upon the source being a writhing sentient wall spanning the entire one side of universe and your hope is not to defeat it but to simply influence it to retreat to whence it came.

Or alternatively if you wanted to make cosmic horror on a scale human vs enemy, it would have to be a sci-fi shooter game where you are granted access to weaponry to literally level mountain sized threats. Think Helldivers, but if your weapons in your arsenal had the power to level an entire city in one shot, and you needed several well placed shots for your enemy.