In the Fog by Richard Harding Davis

The story is set in London, at an elite gentleman’s club called "The Grill," where an American gentleman arrests the attention of four other men by relating how one night he got lost in a thick London fog. He stumbled upon a house where a double murder was just committed. The victims of the murder were a young nobleman and a Russian princess. He escaped from the house and reported the killings to Scotland Yard. But they were unable to find the location of the dwelling. All very strange, as three of the other gentlemen all offer more information and perspectives on various details of the incident as they endeavor to solve the mystery. (Introduction by Bob Gonzalez)