Considering that the games main selling point was that it entered the weird-and-wacky world of fiction of the 19th century, blending Rockstar's own classic grim humour with supernatural references, I don't think they really touched upon the latter. For the most part, you were fighting Zombies - Zombie Bears, Zombie Cougars, Heavy Zombies, Fast Zombies, etc. You didn't really fight anything but that - which, I suppose, was kind of the point.
But, early on, you get to hunt Sasquatches - an obvious supernatural creature - and you meet a reincarnation of a Mexican god, which takes it a step further from the whole undead Armageddon. Which left me wondering - why didn't they add in MORE supernatural creatures? They could very easily have referenced works of fiction like Dracula and Frankenstein, they could also very easily have simply slotted in a few random enemies to fight to add a bit more variety of enemies into the game. They could have added roaming Vampire bandits, roaming Werewolves, killer spirits - the works. I think it would have blended brilliantly, no doubt, with John Marston's dry wit and Rockstar's own grim-and-gritty humour, not to mention the whole time-setting and feel of the game overall
If anyone has any thoughts on this, I know I do, would you please share them, I'd like to know if anyone else thought about this.