The players don't know what's going to happen and their characters are powerless to save themselves. Doesn't Break some natural laws. When someone dies, they are supposed to stay dead. When a book burns, it should be reduced to ashes after a few minutes. The moon is not supposed to slide down from the sky and sink into the sea.
Night is supposed to be followed by day . . .
You don't have to break natural laws on a grand scale. Try something subtle, like a candle that burns forever. Or, every time the train stops at a station, the PCs see the same man outside the window, staring at them. If you explain them, they become part of the adventure. If you don't, they'll simply make the players a little uneasy.