Lyric discussion by Kolchis 

Cover art for I Love The Night lyrics by Blue Öyster Cult

Here's my guess at the song. It is supernatural, but it's not a vampire tale, as Cratios points out. I know who the Lady in White is... she's the Moon. He's walking in the night and the misty gloom covers all, and then he's bathed in white light - because the Moon has risen, and She has appeared to him in a human form to ask him to go with her.