Hey there wrathborne.
I just finished listening to an audiobook of the Complete Works of H. P. Lovecraft on Thursday so your promise of a lovecraftian style story brought me here.
I gave the document you shared a read. I have made highlights with a few comments and proofreading notes here: https://drive.google.com/file/d/1WFuhwdpUYhw3pTouS5c4IumjuiAsQ176/view?usp=sharing
In response to the feedback you were looking for on the story, it's a little early to tell how successful you are with only 1 chapter, but I do have some first impressiosns:
Spoiler
1. I think some extra work needs to be done to flesh out Sheena as a character in this opening chapter if you want her to stand out as a protagonist. So far it has been hard to connect with her to that extent because we don't really experience anything that makes her extraordinary or extraordinarily endearing. This is fine for a lovecraftian-esque character, but doesn't sound like what you are going for. To make characters feel a cut above the rest, more real and alive, and then easy to connect with, there are two things to try: 1. write in some idiosyncracies at least one of which is charming; 2. write a scene that ingratiates the character to the reader.
2. Hard to comment on the mystery yet.
3. The slow build to the horror feels a bit more like a switch has been flipped than the pervasive and growing uneasiness of lovecraftian horror or the building suspense of Poe. This is not helped by the jokiness in the front half of the chapter, then the complete tonal shift when Sheena goes to visit the mansion. The only way that I can see to improve this is to weave in some small horror elements throughout the earlier parts - reports of an unnatural number of missing pets, upsurge in illness or sudden comas, people seeing movements in shadows or feeling constant paranoia, a drunk man raving, weird unsettling dreams, strange items or idols turning up or strange symbols graffitied onto walls, an influx of unfamiliar people to the small town other than just the gansters, unsettling sounds from dark alleys or from around corners, birds falling from the sky, etc... These types of things can be sprinkled tastefully in through the narrative via side characters' experiences, the newspaper, the radio and Sheena's story, and they could help build that atmosphere you are hoping for. So far the scene with the gangsters and the suitcase does way more work than the zombies in the well and the dark figure in the window....
To summarise my other thoughts on your writing:
Spoiler
Your writing got a bit sloppy towards the back half - I hope I caught all the issues but could probably do with another proof read...
I'm not a huge fan of screenplay scripts anymore because the narration always comes across as one dimensional, matter of fact and skewed towards only setting scenes visually without the depth that other sensory information brings.
On top of this, you do not use thoughts/internal monologuing at all, which is something that is used a lot in comics and literature but is left mostly to subtext, expression and visuals in screenplays - a lot of potential information for readers is missed here.
My comments may come across as critical, but I hope that you find them useful and perservere with writing your story. I wish you the best of luck!