'Grimm' is a homophone of 'grim', 'Grizzly' is a homophobe of 'grisly', 'Scarry' is a homophone in US English of 'scary', 'Gorey' is a homophone of 'gory'.
'Gory', 'grisly', 'grim' and 'scary' do all roughly mean brutal.
'Grimm' as the name of the brothers is a red herring connection, with Gorey and Scarry also names of children's authors.