The Setting: Let's throw it all the way back to when settlers were building the America we know today. There are a lot of things to consider: the presence of the Native Americans, the vast, terrifying unknown of the unexplored land, and the inability to rely on technology for help.
The Premise: The installment could focus on settling America from either the point of view of the colonists or the Native Americans. Or both. It would make for a tense season, and that's not even taking into account the other kinds of horrors that era held. Salem witch trials, anyone? A tie-in to AHS: Coven, perhaps? Talk about mind-blowing.