Almost every park has a myth or legend connected to it.
http://mysteriousuniverse.org/2014/10/the-mysterious-valley-of-the-headless-corpses
However, the Nahanni could really be a paranormal park.
http://raven-talesoftheweird.blogspot.ca/2011/02/valley-of-headless-men.html
http://listverse.com/2014/12/09/10-mysterious-trips-into-the-wilderness-that-went-horribly-wrong
http://travel.nationalgeographic.com/travel/parks/nahanni-canada-park
Over the years, David+Paulides has investigated several missing persons cases. Many of them are in parks or other rural areas.
http://raven-talesoftheweird.blogspot.ca/2012/09/missing-persons.html