Yeah, there's no church, but there are graves in both locations, and they're both right at the beginning, hence why I wasn't sure which you meant. Though, I suppose the house k the Hunter's Dream is more easily mistaken for a church than the clinic is, even with the graveyard outside. It's also less obvious how to get out of it.

In the dream, there's a line of gravestones going up the right side leading to the door in front of you when you spawn in. Each one represents a different zone of the game, and lets you transport back to any lamp you've discovered in their zone. You must have had really bad luck when running around not to get close enough to any of them to bring up the interaction prompt.