Wow, did I write this? Have a dcb who acts the exact same!
We have a sign that says nothing scary is allowed inside that the kids actually made. If anyone is saying something scary or threatening like that, I'll usually walk to where they're playing and say something like, "what type of game are we playing?"
Normally that's enough because the dcb doesn't want to explain to the teacher what he was trying to pretend.
If that doesn't work or I judge that it wouldn't be effective in that circumstance, I'll walk over to them and talk only to either his "partner" or "victim" and ask if they want to do something not scary with me. I'll direct all my words to them, and throw in something about (I don't ever like playing scary games, I like doing so and so better. Do you want to do that with me?) This works in two ways: it will get his attention and usually he'll also want to do the activity. Or it shows him that his behavior isn't getting any attention from me or his classmates, and if he keeps it up, he's going to be VERY bored because no one else likes the scary games or words.