The Damned Thing by Ambrose Bierce comes really close to HP Lovecraft. It starts with an inquest to a mysterious death and the narrator attends to give his account of what happened. The monster in the whole narrative is not described well. There is no clear picture as what it looks like. As recorded in the narrator’s journal, the authorities have a difficult time believing the account that he gives in the journals.
This story reminds me most of The Colour Out of Space by Lovecraft. They both deal with colors that are outside what the normal eye can see. It would not surprise me if The Damned Thing influenced Lovecraft with his story.
The Damned Thing was originally published in 1893. The audio program I listened to was narrated by Bronson Pinchot.