Go for it! Steampunk doesn't have a lot of cannon to draw from but I use the science fiction and historical backgrounds to justify my choices, if I feel the need to justify. The supernatural is very traditional in steampunk, both from science fiction and historical back grounds. In the world of fiction people think of Jewels Vern but also HP Lovecraft in his writings there are aliens, evil sea creates, and it is always a scientist who saves the day, kind of. Of course Poe can be drawn on for more super natural leanings.
Form a historical perspective the Victorian era was a time when people believed in all kinds of mystical and supernatural phenomenon. Many scientists of the time believe that they would be able to use science to talk with the dead, bring people back or answer the great questions of religion. So yeah go for a steampunk super natural thing. Also check out these guys http://leagueofsteam.com/news/
and there are great steampunk forums on the steampunk empire and brass goggles, have fun!