While they certainly could have done that, it would only have been at the service of a minority of viewers who were theory-crafting Lovecraftian mumbo jumbo on forums. The people I know who watched the show independent of the weekly autism brigade didn't think it was some supernatural mystery thriller, but rather a story about how people are flawed to various degrees and the precise theme throughout was that it isn't some unrelatable supernatural force perpetrating evil in the world, but people demonstrating that capacity.
Perhaps they nailed the supernatural, mystical mood a bit too well, though, and became a victim of that success in a way. And maybe if they realized they did it so well and could have pulled it off in the end they would have tried to make the show into what some viewers were trying to imagine it to be, and maybe it would have been more enjoyable for some people that way, but the actual show wasn't really that crazy with supernatural outside of them building that feeling at the service of the theme that people want to think evil is some unrelatable, distant thing perpetrated by monsters that aren't even human, instead of all of us having varying levels of evil we contend with and hope to overcome to counter the even greater evils of others people.
Rewatching the show knowing a big supernatural twist isn't coming arguably makes the show better, as it becomes more relatable as a human story that was at times lost in the supernatural obsession many of us experienced in over analyzing the show the first time.