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In 'Mysterious Places of Dorset' by Robert Westwood a story is recounted of some ghosts being seen at Durdle Door. The original account appeared in 'Mysterious Dorset' by Rodney Legg, who was sent this story in the nineteen thirties. A sailor who was anchored at Durdle Door claimed to have heard a scream coming from the shore. Then he saw some young girls appear from the water and start to dance before fading and disappearing. These girls may have been associated with some maidservants that supposedly fled Lulworth Castle as it was gutted by fire on Thursday 29 August 1929. They were apparently last seen running in the direction of Durdle Door. Lulworth Castle remained a shell until restoration work began in the 1970’s.
I do not know if there is any truth to maidservants fleeing the fire as reports I have found seem to indicate lots of people stayed to help rescue the families possessions, however the experience is an interesting one.