Some of the best ideas come from players loudly announcing their theories. :) For a different approach, think about what fear or horror trope you want your players to feel and focus on that, rather than any specific details about Them. Like the feeling of being hunted, body horror, not knowing who to trust, etc.
I’ve found this trope works best when all players know the secret, but the characters don’t. If it’s a cool, interesting secret, everyone can play into it and enjoy the dramatic irony.