Actually, and without wishing to contradict Sleepy or Mike, that haunting piano sound did in fact originate fom an actual haunted piano.
Billy Currie allegedly used to import haunted keyboards of various types from Eastern Europe. All the owners of said keyboards had always passed away in perculiar and unfortunate cirumstances.
Of particular interest was the Steinway belonging to Lithuanian potato-magnate Hurris Kompp.
Kompp - one time PlayFarmer 'Bag of The Month' - was a keen pianist who met a very unfortunate end when he tried making a mass-produced version of his potato-based wine: Gertmell.
At the inaugral tasting session for the wine's launch, he accidentally opened and drank an completely tainted keg in under 23 seconds.
The corrosive-plonk burnt a hole straight through his stomach lining and formed a localised black-hole that destroyed 1/4 of a square mile of the small village of Nessst.
After his funeral it was said that the piano carried his spirit throughout each of the following four owners, before it reached Mr Currie. All those owners went completely mad. Fortunately this didn't affect our 'Vox fave keyboardist at all.