It came from Lady Maulevrier's room.

The door was ajar, and he could see the faint light of the night-lamp within.

That fearful cry had come from her ladyship's room.

She was in peril or pain of some kind.
Convinced of this one fact, Mr.Hammond had not an instant's hesitation.
He pushed open the door without compunction, and entered the room, prepared to behold some terrible scene.
But all was quiet as death itself.

No midnight burglar had violated the sanctity of Lady Maulevrier's apartment.