Climax For A Ghost Story, by I.A. Ireland (*) (1919)
“How eerie!” said the girl, advancing cautiously. “–And what a heavy door!” She touched it as she spoke and it suddenly swung to with a click.
“Good Lord!” said the man. “I don’t believe there’s a handle inside. Why, you’ve locked us both in!”
“Not both of us. Only one of us,” said the girl, and before his eyes she passed straight through the door, and vanished.
(*) Took the story from A Companion to the British and Irish Short Story, By David Malcolm
Biography of I.A. Ireland (got it from here, but also have it confirmed from another source):
English savant born in Hanley in 1871. He claimed descent from the infamous impostor William H. Ireland, who had invented an ancestor, William Henrye Irlaunde, to whom Shakespeare had allegedly bequeathed his manuscripts. He published A Brief History of Nightmares (1899), Spanish Literature (1900), The Tenth Book of Annals of Tacitus, newly done into English (1911).
Ghostly fingers Moving my limbs