I have to side with Wilum here. I would call HPL's life anything but depressing, save for isolated periods (particularly 1904-14, or -- and even here I'd use the term with strong reservations -- his "New York exile" of 1924-26). He certainly had his hard times, but he was so fascinated with so many things, and had such "mental greed" (to use E. Hoffman Price's phrase), that anything which uses what we know of him accurately is certainly not going to be depressing. If anything, it is likely to be quite lively, full of sparkling wit, humor, and a very generous spirit... the very things which earned him the lifelong friendship of nearly everyone he met or corresponded with.
Even Bob Howard's life can't really be called "depressing". He, too, had his problems, but he also greatly enjoyed much of life, and had a lively, often bawdy, sense of humor and a relish for the absurdities of existence. Even his suicide, it can well be argued, was not due to a fit of depression -- as it has long been depicted -- but rather the following through on a decision made many years before, in a reasoned, logical manner. Tragic, yes, in that we lost a writer of considerable talent; but "depressing" is, I think, quite a different matter.
As for STJ's novel... I'm always wary of books which utilize real people, even when written by an authority on said individual(s). But I've run across enough positive comment to make me think this one may be one of the rare exceptions, so I'll give it a go....