It's true! Sean Howe, author of the astoundingly awesome and thrillingly, thouroughly researched Marvel Comics: The Untold Story posted this treatment by Thomas to his Tumblr:
Click to enlarge:
Here’s another glimpse at what might have been: A 1972 Roy Thomas memo proposes, among a handful of launches and title changes, a series “hosted” (a la EC’s Crypt Keeper) by the Doctor Strange villain Nightmare.
And what’s this? An anthology comic called THE MACABRE WORLD OF H.P. LOVECRAFT?!? A few months later, an issue of Journey into Mystery would feature an adaptation of Lovecraft’s “The Haunter of the Dark,” but no series ever materialized.
Oh, what might have been!