The scene I'm looking for involves a Roman government official on a tour of the frontier when the hill tribes have a sabbat dedicated to the Cult of Cthulhu or similar. From memory the official and a local military leader stand on the ramparts of a border fort watching the "bale fires" up on the hilltops on the other side of the border and listening to the ceremonial drums, I believe the frontier is that of either Germania or Gaul but it could have been on Hadrian's Wall. I read the story some time in the last few years and I believe it was written recently at that time, I think it was a short story but it may be part of a larger narrative.
A possibility is THE VERY OLD FOLK, a story taken from H P Lovecraft's letter of 3rd Nov 1927 to Donald Wandrei. It can be read here.
I have myself been carried back to Roman times by my recent perusal of James Rhoades’ Æneid, a translation never before read by me, and more faithful to P. Maro than any other versified version I have ever seen—including that of my late uncle Dr. Clark, which did not attain publication. This Virgilian diversion, together with the spectral thoughts incident to All Hallows’ Eve with its Witch-Sabbaths on the hills, produced in me last Monday night a Roman dream of such supernal clearness and vividness, and such titanic adumbrations of hidden horror, that I verily believe I shall some day employ it in fiction. Roman dreams were no uncommon features of my youth—I used to follow the Divine Julius all over Gallia as a Tribunus Militum o’nights—but I had so long ceased to experience them, that the present one impressed me with extraordinary force.
The cause of the conference was a horror that brooded on the hills. All the townsfolk were frightened, and had begged the presence of a cohort from Calagurris. It was the Terrible Season of the autumn, and the wild people in the mountains were preparing for the frightful ceremonies which only rumour told of in the towns. They were the very old folk who dwelt higher up in the hills and spoke a choppy language which the Vascones could not understand. One seldom saw them; but a few times a year they sent down little yellow, squint-eyed messengers (who looked like Scythians) to trade with the merchants by means of gestures, and every spring and autumn they held the infamous rites on the peaks, their howlings and altar-fires throwing terror into the villages. Always the same—the night before the Kalends of Maius and the night before the Kalends of November. Townsfolk would disappear just before these nights, and would never be heard of again. And there were whispers that the native shepherds and farmers were not ill-disposed toward the very old folk—that more than one thatched hut was vacant before midnight on the two hideous Sabbaths.
Then with utter and horrifying suddenness we heard a frightful sound from below. It was from the tethered horses—they had screamed, not neighed, but screamed... and there was no light down there, nor the sound of any human thing, to shew why they had done so. At the same moment bonfires blazed out on all the peaks ahead, so that terror seemed to lurk equally well before and behind us. Looking for the youth Vercellius, our guide, we found only a crumpled heap weltering in a pool of blood. In his hand was a short sword snatched from the belt of D. Vibulanus, a subcenturio, and on his face was such a look of terror that the stoutest veterans turned pale at the sight. He had killed himself when the horses screamed... he, who had been born and lived all his life in that region, and knew what men whispered about the hills.