I found a passage in the pulp author Talbot Mundy‘s “Jim Grim and a Secret Society”, published in 1922 – ten years before “The Gap in the Curtain” – which is suggestive of synaesthesia. Although first I cannot resist quoting from the online bio of Mundy linked to above:
Pseudonym of UK-born author William Lancaster Gribbon (1879-1940), who emigrated to the USA in 1909 after his early life as a confidence man, ivory poacher and all-round rogue in British Africa had culminated in a prison sentence.
Anyway, here is the passage:
Did it ever strike you that sound has color? The din that bell made was dazzling, diamond white, reflecting all the colors of the prism in its facets. When I spoke of it afterwards I found that Grim had noticed the same thing.