Malcolm Quarrie refers to his expedition to find The King in Yellow as 'The Pilgrimage of Grace'.

This is in fact an historical reference to an unsuccessful Catholic rebellion against Henry VIII in 1536. Quarrie had apparently long admired the high moral tone of this endeavour, and seems to consider himself to be working in the same vein.

Quarrie's Pilgrimage is disguised as an expedition to find a lost city in Tibet. In fact the destination of Quarrie, Roberto Anzalone and their companions is the Nepalese kingdom of Mustang, and specifically the cliffs of Drakmar.

It seems that after the Pilgrimage reached Drakmar, Carlo Schippone had some kind of a breakdown and abandoned his companions, returning to the Monastery at Te where he committed mass murder and was eventually killed by Captain George Withers.

The local people believed that Schippone's companions had been taken by the 'ghosts' that inhabit this barren place.