The Mysteries of Udolpho seems pretty clear from the outset. When Emily arrives at Udolpho, she quickly discovers that tons of mysteries are just waiting to be unraveled. But these aren't exactly the mysteries she's read about in her romance novels.
First of all, Em finds mysteries that seem too terrible to exist, like the thing behind the black veil. But there's a perfectly reasonable explanation for what looks like a rotting corpse but is in actuality a melted piece of wax. As far as mysteries go, this one's pretty lame.
The real mysteries of Udolpho go a little bit deeper. Emily becomes more attentive at Udolpho to the complexities of human life and death, even as she struggles to cope with the deaths of those closest to her. The strange music Emily hears now and again represents this unsolvable mystery—we're not going to get a straightforward answer about why life and death happen the way they do, but it's totally worth contemplating.