While searching for "The Doom that Came to Sarnath" I stumbled upon "The Stories of H.P. Lovecraft - A Synphonic Collection". Though not an actual audio-book or play these tracks do tell stories. It's a nice collection and might be a good background for your own H.P. Lovecraft adventures or maybe while reading one of his stories. There are so many artists who take this franchise as inspiration that it's hard to find the actual stories within Spotify.