Illegal's probably not the right word for it (because at least nowadays it would be protected under the first amendment) but would Voodoo rituals be something the police would routinely investigate or break up? I ask because I'm Reading "The Call of Cthulhu" and this seems to be implied but I wanted to know if this was the actual attitude of the time or something Lovecraft just made up of the pulp magazines.
A good book to examine on this subject might be Mary Renda's Taking Haiti: Military Occupation and the Culture of U.S. Imperialism, 1915-1940. Voodoo didn't enter into mainstream public consciousness in the U.S. until around the late 1920s and 1930s, partly because of cultural symbols and imagery evoked from the U.S. occupation of Haiti. Films like [White Zombie](http://en.wikipedia.org/wiki/White_Zombie_(film)) not only made known some of the rituals of Voodoo, but they also shaped the view of Haiti as a mysterious and dangerous place in popular culture.
It's possible (though I haven't seen evidence for this) that if there were police raids on Voodoo rituals that they might have been inspired by panic caused by what they saw in media like films and pulp-fiction novels.