No, it is not a correct English word.
Apparently Merriam-Webster includes an adjective definition for 'horror', but I have to disagree with them here.
The example usage is 'horror movie', which you've also included in your question. However, 'horror movie' is a compound noun, and in that phrase, 'horror' is acting as a noun adjunct, not an adjective.
A noun adjunct is a noun that is used in a manner similar to an adjective. This does not automatically result in comparative and superlative forms, such as 'horrorest' and 'horrorer'.
Near the end of the linked 'compound noun' article, there's a discussion on alternative forms in natural language. The example compares using a noun adjunct versus an adjective based on the noun (an inflection). In this case those two forms would be:
Noun-Adjunct
A horror movie
Inflection
A horrifying movie
Inflection Comparative and Superlative
A more horrifying movie
The most horrifying movie
