There are a lot of different things that fall into the realm of the supernatural. It normally means ghosts and demons rather than something like a dragon. Whether or not supernatural beings can exist is something that can’t be confirmed as they commonly exist in a different realm or some other place that the average human eye can’t see.
If you are someone who believes in ghosts and life after death, video games based around the supernatural side of things will be of interest to you. In saying this, whether you believe or not, supernatural stuff tends to be pretty cool, even if you acknowledge that it is not very realistic.