The Grave on the Mountain is a mythical location and a proven myth. The grave is located on the top of the mountain south of the lighthouse in Cape Catfish on the eastern coast in Grand Theft Auto V. It is also an Easter egg.
The grave is said to be Ursula's mother, the owner of the Lighthouse Cottage and is referenced when picking up Ursula as a part of a Strangers and Freaks hitchhiker mission. The grave could be haunted since another grave site is haunted in the game, however, investigations have so far brought up nothing, proving it as just a normal grave.
The grave is also said to be a reference to John Marston's grave in Red Dead Redemption. Since the grave looks like his and there are other references to RDR in GTA V, this seems possible.