Sorry
@SavageBlade900! Your last post reminded me that I still owe you a detailed treatment on the matter in America.
You mentioned Cape Cod, and while it certainly has the creepiness for it, putting things underground there is not typically the greatest idea, as it is only about 100 m above sea level. Deep crypts would probably be perpetually flooded, and therefore ill suited for most any use. And, that is true in much of New England; while it may be old enough, for the most part, it doesn't have the topography, and where it does, it is too densely populated for something like that.
The South is probably not a good match either. There is some creepiness there, but it is more revolving around the Civil War and slavery than religious based creepiness. They are pretty religious, but much of the religion there is pretty contemporary, so an elaborate underground complex wouldn't be of the sort you are looking for (think more like doomsday prepper than secret religious order). So, if you want ghosts, the South is the place to go, but demons and ancient underground religious dungeons... not so much.
Texas has its history with cults, but they are more the sort of that has a charismatic leader (like David Koresh) who preys in impressionable people than what I think you are going for. Great Lakes region is going to have the same flooding issue, as would much of the West Coast. That pretty much leaves the States along the Rockies, the desert states (Montana, Idaho, Utah, Wyoming, Nevada, Colorado, New Mexico, Arizona), Alaska and Hawaii. Of those, Nevada is home to Las Vegas, so right or wrong, people will think of there or an eccentric Vegas millionaire's property rather than a religious facility. Colorado has a fair bit of tourism, and Idaho is known for farming and mining. Utah is known as the creche of Mormonism, and if you really wanted it associated with a real religion in the States, this would be my pick. They have large temples which are nearly always closed off to the public, so I think an underground complex would be believable. What they don't have, however, is the population of the States taking them seriously. Between their young adults in suits and bicycles knocking on doors and the satire of them from
South Park and the like, they are seen as more strange and naive rather than secretive and menacing. Hawaii, while it has many islands, they are both subject to vulcanism and tourist traps, so not only would it be difficult to have anything secret there, if you had anything underground, it will either get filled with water or lava.
Either Montana, Wyoming, Arizona, New Mexico, or Alaska would be a good choice for a purpose built site connected to an invented cult. The former two are more northern and mountainous (though Montana has some significant plains as well), so they tend to be colder and sparsely populated. Yellowstone National Park is in Wyoming, but there is still much of the state beyond that which people don't wander into. Arizona and New Mexico are basically all desert and mountains, so they tend to be very hot and dry. Also, New Mexico has Roswell, where supposed alien sightings happen. This could be spun as demon activity if you wanted to get creative. And, Alaska is absolutely massive, can be cold in the southern parts, but tundra and very sparsely populated in the north. If you wanted to hide something in the snow and ice, Alaska is where to go. So, I would recommend one of these states for a purpose build facility or a cave converted for that purpose. All of this, though, is very broad strokes, so there is quite a bit of room for additional research.
Regarding existing structures, large, underground crypts just aren't that common in the States, as we typically have graveyards instead. While there are some old large churches/cathedrals, they tend to be more modernistic, brick built churches, and an underground complex beneath them just doesn't feel right, at least to me. The more common churches are brick churches with fellowship halls (multipurpose rooms for meetings, dinners, and so forth) built into the cellars or no cellar at all. The other type are very modern, campus style buildings, and it would seem bizarre to have something like that underneath a coffee shop and gift store.
A Masonic Lodge, however, is a meeting hall for a semi-religious social club which is closed to the public and often is associated with conspiracy and secrets. I could imagine a secret, underground complex underneath a lodge. If it doesn't need to be sprawling, a converted bomb shelter underneath would do.
That said, if I were writing your story and I chose to set it in the States, I would go with a purpose built site in the mountains or Alaska. I think that would be the most believable approach which doesn't stick with the Illuminatii/Mason conspiracy theory. Just my thoughts, though, and if you are writing for a British audience, they likely wouldn't know enough about the individual States to have significant disbelief.