An early screenshot some presume is from this unused level.
Unused Level 37, filename 37HORROR2.bin, is a supposed level cut from the final release of Super Mario 64. Much like the other unused levels, it is still referred to in the game's debug level select, although without a name and without any files associated with it.
The July 25th 2020 leak shed more light on this unused level, such as its filename. However, there appears to be no model associated with the level meaning that it has been lost, or perhaps was never created at all.
Theorising[]
Judging by its name, 37HORROR2.bin, it's possible that this level was associated with Hazy Maze Cave. Hazy Maze Cave is known internally as "Horror Dungeon", and in the same dump Hazy Maze Cave is once again referred to with the moniker Horror. It's possible that this could be an associated area to Hazy Maze Cave, much like Cavern of the Metal Cap. Many other sub-areas in the leak are denoted under seperate files to their source level, such as the slide in Cool, Cool Mountain.
Alternatively, the use of "Horror" could be associated for a more spooky themed level like Big Boo's Haunt. It is possible that this level was originally tied to an early hallway-like area seen in pre-release footage, which is now presumed to originate from Hollow Horror Halls or Big Boo's Forest.