Demons or Satan, but as I understand term "theological horror", it refers to specifically Christian demons, and the movie like the Exorcist or Rosemary's Child, and doesn't quite work with titles like Hellraiser.

But to respond to OP, I haven't seen South Korean the Wailing from 2016 being mentioned here. I didn't like that movie, though others may. Jacob's Ladder could work with both definitions, and definitively recommend that one.

EDIT:
Frailty. Here's an IMDB link since GOG is mangling the wikipedia link: https://www.imdb.com/title/tt0264616/

Fallen is not nearly as good, and is more a thriller than horror. But is close enough for consideration. https://www.imdb.com/title/tt0119099/

ah, just beat me to it. and I think it is very good

Oh, I definitely enjoyed Fallen. But it is overall less-well-received than Frailty. Which I feel is deserved, because Frailty is awesome.

Yes, you said you didn't understand it.....which in and of itself is a bit vague....hence my reply being as it was.

https://en.wikipedia.org/wiki/Theology
I've never heard of the study only being about Christian religion...

Than you haven't tried studying theology in Croatia, you can choose between Catholic... and Catholic. Okay, there might be other religions, but the biggest university which studies theology is Catholic university.

And while I am aware that theology is study of divine, it's even in the name, I have never heard of movie being classified as theological horror without it also being strongly connected to Christianity. Could be a result of Western bias.

Ha, I was going to recommend you that one movie with Jeffrey Dean Morgan, but then I realised that he starred in a similar movie called The Possession. Though it´s not about christian demons actually, but maybe you´ll like it.

Carrie (the original from 1976)
Carrie's mom is a religious fanatic, who's making Carrie's life hell, so...I'd say, it falls under the term "theological horror".
Trailer: https://www.youtube.com/watch?v=YuO26oJQLVs

The Amityville Horror (the original from 1979)
Trailer: https://www.youtube.com/watch?v=Iwa120o7m7k

Children Of The Corn (1984)
Trailer: https://www.youtube.com/watch?v=Qs6z1D4gVp4

The Night of the Hunter (1955)
Probably not really what you're looking for, since it's neither a real horror movie, and because the "theological" part is only given by the fact, that the killer is a self-appointed "Reverend" and "Preacher".
It's done in black and white, and has some eerie scenes (Milla underwater) and fantastic plays between light and shadows.
Definitely worth a look (ithough maybe not for a strict horror enthusiast).
Trailer: https://www.youtube.com/watch?v=Y8dX6ZKJe2o