In Mercy, Rain by Seanan McGuire

Jack Walcott was only twelve years old when she and her twin sister Jill, descended the impossible staircase and found herself in the Moors, a world of drowned gods and repugnant royals.
After abandoning her sister to a vampire lord, and under the tutelage of a mad scientist who can do impossible things with flesh and living lightning, Jack quickly learns that in the Moors, death is merely a suggestion.
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