There was a Sonic fan game called exe that I can't find anymore. You played as Tails in a realistic, story-like world, exploring the city, the forest, etc., but I can't find the game anymore. I think it was on Gamejolt.

There was dialogue, you could talk to NPCs; it wasn't really horror, but it's still a Sonic.exe game, and it's 2D with very beautiful pixel art.

I think the game was psychologically horrific, and the beginning of the game is Tails joining Cream with his mother to go by car and reach the city.

According to Gemini :

"Le créateur original (souvent connu sous le nom de Dante ou Dante de Valman) a supprimé les pages officielles. Le projet a ensuite été repris ou intégré dans un projet plus grand appelé Sonic.exe: Genesis."