A few things to note of this, based on how it re-occurs in later stories. The names conjure up every low-grade fantasy that has been parodied or pastiched, quite possibly deservingly. Overblown names with too many apostrophes; the [PROFESSION] of [PLACE] formulations. You can think of plenty of ways to mock it.
It doesn't feel necessary to do so here. These are short stories: the background, the setting will never been completely filled in (a pencil sketch, not an il painting). Throwing a character of whom one knows little or speaking of an unknown place - that means that certain aspects of (say) the Inquisitors of Ong will forever remain concealed.
CAS is of course, writing in a different age for a different audience. That wasn't uppermost in my mind when reading these, but it means that our media-savvy minds are not quite the correct tools to delve into stuff that may appear cliche or unsophisticated.
Lots of antagonists forces appear to be religious sects and inquisitions: this may be a Gothic hangover (Cf. The Monk, the Castle of Otranto, The Pit and The Pendulum). Indeed, the one purposefully medieval story so far(one of the Averoigne tales) lacks any mention of the Church (other than perhaps by implication) - quite possibly to preserve the sunny tone.
That very story - 'A Rendezvous in Averoigne' - is oddly breezy for a vampire tale. The assaults of the villain are ineffectual and beaten back with reasonable precautions whilst in his castle. There's probably a good story about vampiric hubris in there somewhere, but this seemed to be more about the Arcadian delights of Averoigne - and the sinister things somewhere behind it.
Another story to comment on would be The Sorcerer's Return. A little predictable (the chap who acts like an evil wizard practices the black arts? Shocker!). But the tone of events, the workings of study, of languages and study and editions - it is the world of the antiquarian, the historian, the palaeographer - MR James, not HP Lovecraft.
The Hyperborea stories are a different kettle of fish people. [Sorry.] For a place so far toward the Arctic, the northern or beyond-northern elements are there, though dimly (elk-goddess, ice age). Could it be any elder age? Perhaps, but CAS works it sufficiently well in to be interesting and textured. The protagonists are often as amoral and callous as Vance's Cugel - see 'The Tale of Satampra Zeiros'.
'The Door to Saturn' is the best of these thus far - a super example of the Weird as a mix of Science Fiction and Fantasy. Both the starting tale in Hyperborea and the journey undertaken are fascinating - with an inquisitor again, you'll note. The very alien landscape of Saturn (of which I want a little more) is good; the names and languages change agreeable - names 'foreign ' to the 20th century reader change into names 'alien' to the human reader. This is how unpronounceable names are done well, if you will. The tone is quite light - despair is not in the foreground, whatever the plight of our protagonists.
One Zothique story so far - 'The Empire of the Necromancers'. A good idea, well executed, but not very good at implying a sense of place or setting in the same way as other Dying Earth stories. I must see how this develops.
A few final thoughts: Was CAS ever actually in France? What was his education? [Yes, there is a chapter on this in the Afterword.]
I never quite seem to be certain of the shape of things; this need not be a problem - but there is plenty of architectural description.
This might be called The Emperor of Dreams, but it seems too fine shaded, too pointed in all aspects to be entirely dreamlike.