British civilians were issued gas masks in cardboard boxes and carried them around with the rope attached to the box, or in a small canvas satchel. It was the Germans who used cylindrical canisters for their gas masks as seen in this film.
The "headless ghost" is obviously fake as its upper body from waist to neck has clearly been increased in size to hide the actor's real head.
Although set in England, when Lt. Hilton reports to his superior officer, there is a recruiting poster for the Queen's York Rangers on the wall - which was, and still is as of 2019, part of the Canadian (not British) Army, based in Toronto, Ontario, Canada.
When Holmes shoots the lock off the door, he neglects to tell Letty and Hilton to stand back--by not doing so, he ran the risk of the bullet striking one of them when it passed through the door.