"Grotesque" is an odd term-- I don't think of either Frankenstein or HPL as "grotesque". While HPL falls all over himself declaring his horror at monstrosities from beyond, he never really makes you feel it, rather he makes you feel that _he's_ feeling it, if that makes any sense.

There was a tremendous French popular horror genre that does qualify as grotesque, the grand guignol; particularly the lurid comics in l'Oeil de la Police

While it was theatre rather than printed material the horror performances at the Theatre du Grand Guignol certainly fits the bill, that's what I'd call "grotesque"