The first appearance was as a serialized novel, published in Pearson's Magazine, October 1907 through June 1908, with 14 illustrations by A.C. Michael.
McKay, Scott, and Whatmore claim that Cassell and Company published the first edition in book-form in London on September 25, 1908. Apparently 15,000 copies were printed, with only 7 of Michael's illustrations, and 1 illustration that was not included in the serialization. Ads at the end of the book are dated-coded 8.08 (August 1908).
The first appearance in America was as a serialized novel in Gunter's Magazine, September 1908 through March 1909. I do not know if this serialization has any illustrations.
Frank F. Lovell published the first edition in book-form in New York with the different title, THE LADY OF THE HEAVENS, and without any illustrations. It is unknown whether the American first edition precedes the British first edition or not. The Library of Congress has a copy, and according to McKay there is a date associated with this copy: May 27, 1908. The copy in the Library of Congress has The Authors and Newspapers Association and 1908 on its title-page (no mention of Frank F. Lovell). Scott believes the American first edition was published in 1909, perhaps May 15, 1909, because The Publishers' Weekly lists this date. There are no ads at the end of the book.
See the VisualHaggard.org page dedicated to the illustrations found in various editions.
I own the complete serialization of this novel in PEARSON'S MAGAZINE. The front cover of the first issue is below.
Below, a copy of the first edition with original dust jacket. I wish this copy were in my collection, but alas, it is not. The dust jacket is extremely rare.
Below, my copy of the first British edition, which is very scarce and tough to find in collectible condition, without spine sun-faded.
Frontispiece and title-page
The 8.08 date-coded ads at the end of the first British edition contain an ad for THE GHOST KINGS.
The ad for THE GHOST KINGS below was found in the 1910 first edition of MORNING STAR
The July 15, 1908 issue of THE BOOKSELLER, NEWS DEALER AND STATIONER has an ad for the serialization of THE GHOST KINGS in GUNTER'S MAGAZINE, beginning in the September 1908 issue. The serial ended in the March 1909 issue.
2 of the 7 GUNTER'S MAGAZINE front covers mention HRH
My copy of the first American edition was SIGNED by HRH in 1909
Below, my second copy of the American first edition, with title-page
Below: a first American edition in variant plain cloth binding, that I used to own but sold
Cassell British reprint, 2 different copies
I do not own either book below
Cassell British reprints, both paperbacks I believe
I do not own either copy
I own a 1926 hardcover with original dust jacket with the same artwork as shown below.