This story is set during the Inquisition, where anyone that would not convert to Catholicism was labeled a heretic and captured. They were often tortured and killed. It was a brutal time period in Europe, and as it was occurring, the rumors of the torture that was happening were vicious and frightening. The narrator himself refers to this--he mentions the "thousand vague rumors of the horrors of Toledo." So, when he is tossed into a totally dark place, where he can't see anything, where it is cold and damp, he is terrified that some scheme has been hatched against him. His first thought, he says, is so terrifying that it "drove the blood in torrents upon my heart." That fear was that he was buried alive in a tomb, to slowly suffocate to death.
Imagine waking up in total darkness, with stone all around you, rumors of torture swirling in your head--it wouldn't be too far of a stretch to assume that you were in a tomb. And, we don't know for sure, but he might be terrified of closed spaces--he could be claustrophbic. A lot of people are. Even if you aren't, who wouldn't be afraid of being entombed alive? The uncertainty of his fate, him not knowing where he is or what they are doing to him, and his environment, all lead him to terrifying conclusions.
I hope that those thoughts helped a bit; good luck!