With Lovecraft, the situation is complicated by the fact that many of his works were collaborations. In the U.S.A. the stories Lovecraft wrote with C.M Eddy Jr after 1923
might still be in copyright: The Loved Dead, Under the Pyramids, Ashes, the Ghost Eater and Deaf, Dumb and Blind. One of Eddy's heirs certainly
claims so, though for this to be true, the copyright would have had to have been renewed. AFAIK there is no evidence for copyright renewal on any of Lovecraft's works, so any claims by people like Dyer, or, more notoriously, Derleth, are probably spurious.
In the EU the situation is simpler and all works written solely by Lovecraft have been PD since Jan 2008. But those works written with collaborators mostly remain in copyright (Eddy, for instance, only died in 1967).