I think the author means "The Lost Legion" ("Many Inventions", 1893).
See also http://www.kipling.org.uk/rg_lostlegion1.htm
j> In chapter three of Sites of Memory, Sites of Mourning. The
j> Great War in European cultural history (1995), Jay Winter addresses
j> the issue of spiritualism. Evoking 'The Angel of Mons', he mentions
j> 'The popular writer Arthur Machen' as having claimed 'he made it
j> up' and that 'He recalled Kipling's tale of a ghostly Indian
j> regiment'. Could anyone give me the reference of this tale?
j> John Seriot