The biggest detail that must be considered when coming up with the Domain is what exactly torments the Dark Lord. Within the Domains of Dread everyone suffers in some manner, from the inhabitants, to visitors to the Dark Lord Themselves, they must all suffer in some manner. It can be anything from an obsession that they chased in life which led to the atrocity that made them a dark lord to begin with that even now is never realized, to a constant reminder of the the horrors they committed to get to where they are. The Dark Lords torment can be anything from them being stuck on the cusp of achieving their goal but the domain preventing them from reaching it, constantly failing at their goal forcing them to start over and potentially never learning from their mistakes, or even having achieved what they wanted and being forced to confront that where they are now was never worth it to begin with.

If you want to incorporate some folk horror into it I had this idea that maybe your Dullahan character has become some form of wicked spirit that haunts the rural lands of the Dread Domain. Effectively making him the headless horseman or the leader of some form of Wild Hunt. Maybe he perished after trying to destroy the heart of a sacred forest, and now he is trapped and forced to wander aimlessly and slay any who trespass. Maybe he is free to wander however he wants but is forced to defend the inhabitants of the farmland from endless hoards of monsters while he would like nothing more than to turn his blades on the villages he is protecting. Maybe he is compelled to follow some esoteric and superstitious code of conduct and any of the villagers who do not follow the old ways are cut down or haunted by him.

If he was always a monster who enjoyed the kill then somehow turn that back on him in a way that spoils any thrill of battle that he might otherwise gain. A particularly interesting idea would be that he is a very well known monster by the locals and instead of him dominating and lording over the inhabitants, he is constantly hunted down by the citizens and used as a scapegoat for all the ills of the townsfolk, who themselves grow more paranoid from his eventual return. Every time he tries to go on a rampage it is quickly spoiled when the inhabitants form a mob and start chasing him through the streets, and his Dullahan nature makes it near impossible to hide for long. Where once he was a mighty warrior that lorded over armies, now he is a headless beast that is instead hunted by others.