I’m not sure what [Lovecraft's] beliefs about morality in the real world were...

For what it's worth, he seems to have said:

I am an aesthete devoted to harmony, and to the extraction of the maximum possible pleasure from life. I find by experience that my chief pleasure is in symbolic identification with the landscape and tradition-stream to which I belong – hence I follow the ancient, simple New England ways of living, and observe the principles of honour expected of a descendant of English gentlemen. It is pride and beauty-sense, plus the automatic instincts of generations trained in certain conduct-patterns, which determine my conduct from day to day. But this is not ethics, because the same compulsions and preferences apply, with me, to things wholly outside the ethical zone. For example, I never cheat or steal. Also, I never wear a top-hat with a sack-coat or munch bananas in public on the streets, because a gentleman does not do those things either. I would as soon do the one as the other sort of thing – it is all a matter of harmony and good taste – whereas the ethical or "righteous" man would be horrified by dishonesty and yet tolerant of coarse personal ways