No, Virginia was not really lost. She allowed the ghost to take her to "a great black cavern" so she could weep and pray for the angel of mercy to allow the ghost to die. The ghost had explained to her that he could not leave behind his torments unless someone pure and innocent like Virginia helped him. She must weep for him, he said, because he, as a ghost, couldn't cry, and she must pray for him because he had no faith.
When they can't find her, her family becomes worried and frantic. They fear a nearby band of gypsies might have taken her and so they go after the gypsies. When they find out the gypsies are innocent, the family sends telegrams to all the police inspectors in the area, asking them to search for her. Then the family drags the carp pond in case she has drowned, and they search the entire Chase. At midnight, she returns through a panel in the wall in a peal of thunder and is able to tell them what happened to the ghost.