The Cave of the Winds might be a spooky place for a ghost story. Maybe it's about a ghost that haunts the cave, and the experiences one had while being there. It could be a personal encounter with the supernatural in that specific location.
I once had an encounter with a so - called Golden Lady in what I believe was a ghostly experience. It was a dark and stormy night. I saw a figure in a golden - hued dress at the end of the hallway. She seemed to be translucent. I was frozen in fear for a moment, then she just disappeared. It was the strangest thing.
The ending of your ghost story could have different interpretations. If it ends with the discovery that the 'ghost' was a hoax all along, it shows that sometimes our fears are unfounded and we create our own terrors. On the other hand, if the ghost disappears into thin air after achieving some kind of closure or revenge, it might imply that ghosts are entities with their own motives and once those are fulfilled, they can move on. Also, if the main character becomes a ghost themselves at the end, it could be a very dark twist about the cycle of life and death or the power of the supernatural to transform.
If your ghost story's ending involves a twist, it might be that what was thought to be a ghost was actually something else entirely. Maybe it was a hallucination caused by some psychological trauma of the main character. Or perhaps it was a spirit that was not really a threat but was misinterpreted as such. For example, the 'ghost' could have been the spirit of a loved one trying to communicate a message, but due to the spooky atmosphere and the character's fear, it was seen as a menacing entity at first. In this case, the ending would be about the discovery of the truth and the resolution of the misunderstandings.
'Paranormal Witness' is also a show in the same vein. It has people sharing their terrifying experiences with the supernatural. The show re - enacts these events, making it very immersive. It often includes eyewitness accounts and investigations into the strange happenings, much like 'My Ghost Story'.
It's very likely to be a horror story. The idea of a ghost in one's bed is quite terrifying. Beds are supposed to be safe places for rest, so having a ghost there disrupts that sense of safety and invokes fear.