The concept of "fantasy" for an author allows for many different interpretations, and this is exactly where the interest of the whole Cthulhu Mythology lies.
In all novels, of all genres, these specific events described may not have actually happened, they may be fictional, but this does not mean that events like those described cannot be absolutely real.
This is an eternal game for authors - to play like jugglers with the balls of fantasy and reality - but in the Cthulhu Mythology, things go much further than this simple superficial distinction. There is no doubt that all the stories in this book are fictional, and their horror can be perceived as a painless form of entertainment - or even a catharsis from our nightmares.