Some books that have strongly shaped my Into the Odd games, all in the Weird/New Weird genre:
The Ambergris trilogy by Jeff VanderMeer, especially the second book, Shriek: An Afterword, with a strange fungal-infested city and a historian who disappears into the mysterious and dangerous underground beneath the city.
The Narrator, by Michael Cisco, where the titular Narrator is enlisted into a war effort, and there are numerous surreal and nightmarish events along the way. At one point there’s an ancient city with terrifying dreamlike traps that feels very ItO to me.
Finally, a weird western novel, The Half-Made World by Felix Gilman, with sentient industrial train and gun gods, bombs that destroy your mind instead of your body, and a journey into lands that are still being formed from the edges of reality.
I love the Half-Made World but was disappointed by its sequel. In a similar vein the Goblin Emperor series are very good.
I also love The Etched City by K.J. Bishop. Strong recommendation
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You’d do well to visit some of the historical writing of Beebe & Klegg who were uber-hyped on luxury in the US around the time you’re speaking. Big time purple prose but occasionally stunning turns of phrase, solid primary document trapping, & deep investigation on the early stuff that went into train making & 1800’s era luxury, expansion, etc, for better or worse.
I did a ton of writing off of When Beauty Rode the Rails, for starters.
You’d need to bring your own cosmic horror, but I tend to find that the easier part personally. It’s painting it in a realistic framework and using the rumors of the time that hits home for me.