Okay, so I'm just gonna say it: Anne Rice kind of set the standard for this mashup thirty years ago and some of the newer stuff still feels like it's chasing that high. 'Interview with the Vampire' is the obvious pick, but the gothic romance and existential dread in 'The Vampire Lestat' really nails the 'dark fantasy' brief for me. It's not just about fangs and castles; it's this sprawling, melancholic exploration of immortality where the romance is tangled up with horror and profound loneliness.
That said, if you want something with a more modern, plot-driven bite, the 'Black Dagger Brotherhood' series by J.R. Ward might fit. The world-building has its own fantasy rules—different vampire classes, a war with lessers, a whole society. The romance is intense and often dark, dealing with trauma and vengeance. It can get pretty melodramatic, but the fusion of paranormal romance with that darker, violent underworld conflict is its whole thing.
For a single-book recommendation that's all atmosphere, 'Empire of the Vampire' by Jay Kristoff is a recent one that's brutally dark. The romance thread is tragic and secondary to the grimdark fantasy setting, but it's woven through the core of the protagonist's motivation. It feels less like a romantic fantasy and more like a dark fantasy epic where love is one of the wounds that never heals.