Recently re-read/got into the Lord Baltimore setting and thought it might make a great setting.
Baltimore (A British officer/vet) and his band of veterans and ne'er do-wells, travel across a Europe overrun by monsters of all sorts that have come out of the woodwork after the first world war, it also has stops off in wraith infested Carthage, a witch-dominated Moscow and other countries are touched upon.
Although set after Victorian times its by Mike Mignola and has the requisite amount of Gothic horror in my opinion, with haunted castles, abandoned monasteries, towns full of zombies and other creatures from giant spiders to werewolves.