This one is more than a passing theory and has been legitimized by fans and critics alike. The site Red Herry compared AHS and the classic piece of literature, Dante's Inferno, while TVGuide explains how it all fits.
In case you're not up to speed on Italian Renaissance poetry, here's a quick summary: Inferno is a part of a longer, epic poem titled The Divine Comedy. Dante, the main character, and his guide, Virgil, travel through nine circles of hell, each assigned to differing kinds of sinners. Each circle is worse than the others, and the sinners in each circle are condemned to a fate that matches the sins they committed in their mortal lives.
It's a messy allegory, sure, but it helps that each season stands as its own vehicle, and each installment of the anthology centers around a unique place (Briarcliff, Fräulein Elsa's Cabinet of Curiosities, the Hotel Cortez, etc.). There's lots of quibbling about which season represents which circle of hell, since there's so much to sort out in terms of hellish and extreme storylines, so it's really whatever you want it to be.
Redditor sistergrimmer0220 sorts it out like this: Murder House is limbo; Asylum, lust; Coven, gluttony; and Freak Show, greed. Some folks agree with this, others don't, but either way, it's a pretty intricate way to talk about AHS.
