It's look like an memory leak error, except it look like not. It's not common, but it still happens. So after hours of "Google it" and forum searching. I find that all the times an error was on user side. Not on the side of application. So it something that you, yes you, can resolve.
And i decided to summuraise all sollutions that i find, and poste it. To save you, yes you, folks some of your time.

First of all a simple refund!
LoL of course not.
Here is a list of actions that actually might help(But i will not guarantee anything)

1. Admin mode
   First of all try to launch the game in admin mode.
   It's pretty simple and elementary. Just right click on application and choose "Run as admin".
   
   
2. Antivirus exceptions
   Try to add the game to your antivirus exceptions list. The way you do it, depends on Antivirus you use. If you use it, of course.
   
   
3. options.ini
   Try to change "option.ini" file. It's located in "[Here goes your path to Steam directory]\Steam\steamapps\common\Shrouded in Sanity", simple open it with notepad and change it сontent to that.
   
   [Windows]
   CreateTexturesOnDemand=1
   AlternateSyncMethod=1
   VertexBufferMethod=1
   SleepMargin=1
   
   Just in case, make sure to backup the file before editing it.
   
   
4. Window mode
   There are a tricky way to launch game in windowed mode. This how you do what.
   Go to "C:\Users\(YOUR USER NAME)\AppData\Local\_2_5D_Shrouded_in_Sanity"
   The "Appdata" directory are hidden by default. So you need to first turn on the "Hidden directory display" to access it. There open "settings.sav" file with notepad and switch one of the 1s to a 0. Just in case, make sure to backup the file before editing it.
   And one more thing
   There is some possibility. that this files will be simple not generated. So this method will be not work by default, DUH.
   
   
5. Video card driver
   Simple update or totally reinstall your video card driver. It's kinda strict and direct solutions. But actually might help.
   
   
6. Program closing
   If game tells, that memory is not enough, that actually means that memory is not enough.
   Close all(or maybe not all) other applications, that are ON in the current time. Like "Discord", "Skype", your web browser, "Wallpaper engine", your antivirus(If you use it, of course) and all that other stuff, the more the merrier.
   You will be surprised, but it actually work out for me. So it will not be superfluous to try.

You do everything. But nothing helps?
Well... Sad to be you. No jokes. Really! My condolences.
Only thing that left to suggest, is to do a refund.

If you refuse to give up, you may to browse forums further. And find something that i may overlooked. Or. If your grandfather was a hackerman. You, yes you, actually may try to use your own "computerman madskills" and create your own solution of this problem. Any way, everything is up to you.

Thanks for reading.