By mystery do you mean like Agatha Christie? I think she wrote about that theme. Looking quickly, there is a story called The Last Seance from the 1920s. Others like Dumb Witness or The Sittaford Mystery are in the 1930s, but probably there is more to be found from the 1920s.
Spiritualism was an incredibly successful religion -- it entered the culture so successfully that the vast majority of people who believe in it today don't even really recognize it as a religion.