"Count Magnus" is set in Sweden, and the protagonist is a travel writer; I get the impression that James mentally categorized him as slightly inferior and perhaps a bit dodgy compared to his usual learned gentlemen. A little bit of "not quite our sort, dear"? Anyway, Mr. Wraxall certainly shares the Jamesian taste for antiquities and relics, but he unwittingly gets more than he bargained for when he gets too curious about just what Count Magnus was up to.
Count Magnus de la Gardie was a real person (though I hope he never went on the Black Pilgrimage), and he is buried at Varnhem Abbey, which is pictured here. I think if you painted the building white and shrank it down into a mausoleum instead of an entire abbey, it would look just like James' description. There was once a church there too, but it has fallen into ruins.
I really like the description of the two spectres that haunt poor Mr. Wraxall. They are more suggested than described--always all muffled up--and are quite creepy.
Interesting discovery of the day: there is an entire podcast series devoted to M. R. James (that link goes to the episode about "Count Magnus"). I'm going to have to download it! It always takes me forever to get around to listening to things, though--I can only really do it in the car, and usually my kids are with me, and they like music better than history lectures. So if you are more of a podcast-addict than I am and you listen to it right away, tell me what you think.