I'm trying to remember the name of this story: Some gold panners? are in Alaska? (I remember it was cold, and or the pacific northwest) near a huge hand-shaped mountain, and see an eerie blue light in the sky, a pillar shining from beyond the mountain; it draws them hypnotically, but they resist. Coming south from the mountains and into their camp is a raving, semi-comatose man, lashed to his sled/sled-dogs. He wakes up and speaks or they see his journal, and start to read his story.
He was drawn to the legends of an ancient city in the wilderness, either for knowledge or gold, and comes from the north to its reputed location; his native guides do the stereotypical desertion in the progress, and he is left alone to enter. He finds himself at the edge of a canyon, where there are a giant set of stairs leading down. Flanking the steps are a pair of weathered statues, making warding gestures. He proceeds down, the stairs switching back and forth, passing by resting places dug into the cliff, each also guarded by statues. Protected from the wind in the canyon, these are less eroded, and he can see they are natives? At the bottom, a bridge extends out from the stairs and enters the city. The architecture is hollow tubes laid on their sides in pyramidal configurations. The landscape features mist and alien disk-shaped? vegetation. The bridge goes inside the largest structure, where there is an idol.
He passes through there, and starts exploring. Night falls, and presences stir. They are basically invisible, except for glowing lights inside them; they are slug-shaped? He tries to hide, but they capture him and chain him to the idol. His mind or soul starts to be taken by them, and they start to become visible. He reacts to the alien other with prototypical Lovecraftian revulsion. During the day, they all go away. He is fed on bowls of something like milk, which drugs or changes him, or furthers the communion. Several days go by. He determines to escape before he is too weak, breaks the chain, and crawls to the first shelter on the stairs. When night comes, his absence is noted and they shine the blue light. Only his own weakness and the protective powers of the statues keep him from succumbing to its hypnotic power and going back. In the day, he keeps climbing the stairs. Either that day or later, he makes it back to the top, and starts south. That brings us back to the present.
He is dying, and begs to be burned so that the city cannot claim him, even in death. He dies, and they burn him, and they have to burn, or melt or shun the remnants of the manacle on his wrist, even though it's made of gold? or something. And then, suitably horrified, they go back south.
I'm pretty sure the story wasn't by Lovecraft, but it was absolutely Lovecraftian, and I believe it was an entry in the mythos.