My go to is the Call of Cthulhu Sessions, moody jazz mixed with noir and ambient horror. Even though it’s anachronistic, I also use it for my gaslight games, as ragtime doesn’t lend itself to horror.
How about some modernist classical music? The more discordant stuff by Shostakovich and Stravinsky would be more or less in period, and suitably sinister. Also, some of it is quite epic. I'd look for symphonies or ballets rather than chamber music.
Dark ambient industrial is always fitting for the most stressful moments, projects like Lustmord, Raison d'Être, Ambre… and of course, if you can find the albums (edit: well, they're on Bandcamp…), there's always Camanocroszcope, a collab between Ah-Cama-Sotz and Iszoloscope that specifically aimed at a lovecraftian ambiance. They released two albums in 2003 and 2006.