Although this falls in line with Paranoia Fuel, given the oppressive atmosphere, the eldritch nature of the city and the machinations of the Strangers, there's still the true forms of the Strangers to contend with. Brr.
The Strangers. It's not just that they're corpses animated by the squiddy aliens that live in their skulls, it's that with just a syringe or two, they can completely erase all your memories, your personality, everything that makes you you and replace them with synthetically created false memories. And you'll never know the difference, or how many times they've done it.
It may not be the most disturbing thing, but Dr. Schreber's first memory is of himself, removing all of his own memories from his own mind. Place yourself in the same position and realize the horror that is voluntarily destroying all of your identity.
Fridge Horror sets in when you remember that all the Strangers are actually alien parasites possessing the bodies of dead humans.
When we see from Inspector Bumstead's perspective when he's thrown out the city, he - and the audience - realize with a certain nihilistic dread that this is just one small city in the middle of nowhere, in the grand vastness of space. Something about the crushing size almost renders his Heroic Sacrifice meaningless...
Everything Bumstead's predecessor Walenski says is absolutely true.
A lower class husband spends dinner complaining about his boss. Then things get changed to him being the boss, and he complains about his employees. What makes it so eerie is just how completely different they are in personality and speech. As if they were always like that before the change. It's very uncanny.
The very nature of the story itself is utterly nightmarish, coming as it does from an actual recurring nightmare of Alex Proyas. One can see all the familiar qualities of a persecution nightmare in it: our protagonist, who at first can't even remember his own identity, is being chased through an unidentified city by unidentified knife-wielding shadowy men with unknown motives. He's also in trouble with the law for crimes he doesn't know whether he committed or not. The place he needs to go to find the answers to all his questions is perpetually just out of reach; no matter who he asks and what method he tries, he can never quite get there. Meanwhile, he doesn't know who he can trust, since anyone might be working for his persecutors, and he can't even be sure his most recent memories are at all accurate because everything around him keeps changing. Paranoia Fuel indeed!