I've read one (forget the title though) that was set in 1890s/1900s New York, with a brief bit on Coney Island, and was published by Zebra before they shut down their gothic romance line in the early 90s. Outside of that book, and three written by another woman whose name I've forgotten (one was set in San Francisco and dealt with the heroine having her body overtaken by the ghost of a dead madam, the other was set in Arizona, and the last, about a land grant in California/New Mexico), I haven't see any historical gothic romances set in America. Any suggestions?

I haven't run across many in that department, either. The only ones I've read are "Sea Jade" by Phyllis Whitney (but seeing that you've read a lot of her books, you may have already read it) and "The Unguarded" by Dorothy Daniels (and I don't recommend that one).