The Enlightenment was a movement that prized reason and rationality, and Romanticism amounted to an artistic rebellion against it. The Romantics prized pure human emotion above rationality, focusing on the emotional intensity and turmoil that can be found within the human condition. It was a movement which prized individuality and nonconformity and spurned the industrial society in which it took shape.
Edgar Allan Poe's "The Pit and the Pendulum" certainly reflects Romantic-era sensibilities, especially in its subject matter. It relates a harrowing experience, as its main character is tormented by the Spanish Inquisition via an excruciatingly slow but (as far as he can be aware) inevitable death. It is a story that is focused on his psychology during these moments, conveying the excruciating trauma and turmoil he goes through. In these respects, Poe's writing conveys the emotional intensity you would expect of Romantic literature.
In addition, the story's setting and the imagery that coincides with it also reflect Romanticism. Remember, Romanticism was a movement that eschewed industrial society, and often looked backwards towards the pre-industrial world. With its focus on intense emotion and its rejection of Enlightenment rationality, Romantics also had a tendency to embrace religious and supernatural themes.
With that in mind, consider again "The Pit and the Pendulum." While the story is set in the Napoleonic Era, the Spanish Inquisition itself, as an institution, dates back to early-modern Spain, originating with Ferdinand and Isabella. Furthermore, within the popular mind, it is usually associated with pre-Enlightenment Europe. You can also consider some of the imagery Poe employs. The walls of the prison are covered with demonic iconography and, on the ceiling high above the protagonist's head, there is presented an image of Father Time, from which the pendulum is being lowered down. Thus, even if the story takes place during the Napoleonic era, it hearkens back towards a more pre-modern age.
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