Season 4 of AHS should be set in turn of the century, Gilded Age Chicago. Just think: H.H. Holmes, "The Jungle"-era stockyards & meatpacking plants, World's Columbian Exposition, the Haymarket affair. The American "horrors" could be labor/union issues, political corruption, and immigration/xenophobia.
ETA: I envision an immigrant family as the center of the story; a 'madwoman in the attic' matriarch, a Damian-esque child who is a newsie, and the incorporation of the folk horror stories and boogeymen from their (likely) Central European homeland.