Re: Hmmmm.
Another dimension, I think. At any rate, ghosts showed up in HPL stories all the time - there is one spot in the Dreamlands (a ruined city of some sort, I believe) that is 'populated' solely and entirely by ghosts - they're the ghosts of a vanished race, wiped out in some immense disaster, who just hang around the ruins looking mournful. Also, he had ghouls (although they may or may not have been the classical type of ghouls) which would also seem to imply some sort of afterlife.