While it is true that in Lovecraft the course of events most often ends in madness and death, or at least the protagonist's realization that they are helpless and must flee or die, this isn't always the case. In fact, some of Lovecraft's most famous stories are not about utter futility.
At the end of "The Call of Cthulhu," Cthulhu himself is discovered and awoken, and then promptly goes right back to sleep. The protagonist of "The Dunwich Horror" actually has several victories, even over the unknowable fiend trying to end the world. "At the Mountains of Madness," despite it's title, doesn't have that much madness. The protagonist gets away with his life and most of his wits, he just happens to have had his worldview turned inside-out. Some of the smaller stories, for example, "Pickman's Model," are just pieces of pure atmosphere, not so concerned with proving human futility.
I think as big a barrier as the basic subject material is the fact that Lovecraft almost never did action. His characters explored, ruminated, told stories, and reacted to the horrors they encountered, but rarely did more than put together pieces of a terrible picture. Other than puzzle games and point-and-click adventures, there aren't really any gameplay models that would allow you to live in the shoes of a Lovecraft character, which is so important in capturing the real sense of fear and awe that is essential to Lovecraftian storytelling.