Story in The King In Yellow by Robert W. Chambers.
The tale opens in the The Church of St. Barnabe where the unnamed narrator is seeking rest having been mentally disturbed by reading the King In Yellow. He lives in the Court of The Dragon, a narrow passage between the Rue de Rennes and the Rue du Dragon. A man whom he had encountered in the church now appears in the Court of The Dragon and he realises that it is the King In Yellow, who is hunting his soul. Having fled back to the church, he finds himself transported to Carcosa and he hears the King whisper that "It is a fearful thing to fall into the hands of the Living God."
The title is echoed by the Church of the Dragon.