I'm going to paste the checklist of how to write a mystery (he called it a riddle) plot by Ronald B. Tobias. Though it's not meant for a roleplaying game, the general ideas might be useful:>"The mystery story is really two stories in one: the story of what happened and the story of what appeared to happen." (Mary Roberts Rinehart)>The core of your riddle should be cleverness: hiding that
which is in plain sight.>The tension of your riddle should come from the conflict
between what happens as opposed to what seems to have hap-
pened.>The answer to your riddle should always be in plain view
without being obvious.>The first dramatic phase should consist of the generalities
of the riddle (persons, places, events).>The second dramatic phase should consist of the specifics of
the riddle (how persons, places and events relate to each other in
detail).>The third dramatic phase should consist of the riddle's solu-
tion, explaining the motives of the antagonist(s) and the real se-
quence of events (as opposed to what seemed to have happened).>Choose between an open-ended and a close-ended structure.
(Open-ended riddles have no clear answer; close-ended ones do.)
If you want to go for the cryptid angle, I'd recommend this podcast. Great info on both the creatures and the people who think they witnessed them: http://www.skeptic.com/podcasts/monstertalk/episodes/2015/>>40499958
If you want to go for an X-Files feel, I'd recommend against planning out too much from the beginning. Concentrate on the individual sessions, go for "monster/mystery of the week" and hint at connections between the cases whenever it seems appropriate. Having meta-elements that carry over from session to session (red herring or not) will make the players less open to other interpretations of the events and lessen the mystery effect.
"Could it have been the Jersey Devil?"
"Nah, probably vampires. Maybe a vampire shapeshifter. Or a creature made by vampires. Or [vampire shit]"