I am not too familiar with this sub-genre of the weird, the romantic, or Victorian Ghost story. As a matter of fact, these two stories from The King in Yellow, The Demoisells d'Ys and The Mask may be my first introduction into this world.
I am having trouble connecting the first of these to the myth of the Yellow King - it seems the only connection is in the mentioning of Hastur, a figure who would eventually play a part in the mythos stories. However, here Hastur is falconiere, and is not mentioned enough to determine his dark abilities (perhaps I will understand more as I read more of mythos surrounding this character - I recently ordered The Hastur Cycle, a collection of mythos tales). This story tells the tale of a man who gets lost in an otherworldly moor, and discovers a small hunting village. Here he falls in love with the woman d'Ys, and discovers a disturbing truth. This particular tale is more romantic than haunting, and it is my least favorite of the collection.
The Mask is fantastic, and it combines the romantic longing and melancholy of the aforementioned story with the haunting atmosphere of the previous stories. Again Chambers illustrates his ability to deal with romantic relationships. This story is effective in that it expertly conveys the feelings of lost love while it also remains fantastic and weird.
While I don't think The Mask is as good as the first two stories in this collection, it is, none the less, a great read.