“Novelists are ventriloquists, shape shifters, ghoulish inhabiters of other lives,” wrote the English author Andrew Miller. This is certainly true of Scottish writer David Keenan, who loses himself in the multifarious voices he creates. Keenan has said that he doesn’t remember writing this novel, his third, and that when he stumbled across it on his hard drive, “it spoke to me in an unrecognisable voice, a voice that seemed fathomless, bottomless”. There is indeed something uncanny about this haunting book, which connects frozen St Petersburg with misty St Andrews, and in which ghosts and saints hover over every page.

Keenan’s first novel, 2017’s This Is Memorial Device, captured the febrile post-punk scene in smalltown Scotland during the 1980s; it became a cult hit with fans of underground music and left-field fiction. Each chapter was told by a different character, in contrasting voices and styles, but the unifying thread was music. His second, the Gordon Burn prize winner For the Good Times, dealt with betrayal among IRA footsoldiers in 70s Belfast; Perry Como was their soundtrack.

Xstabeth, too, has music running through it, but here the musicians are not so much creators as mediums through which the muse may pass. Tomasz Andropov, a Russian guitarist who specialises in loner-folk cover versions (Nick Drake and the like), plays an improvised gig of muttered words and detuned one-note solos. The audience is shocked into silence; the music seems to come from nowhere. A techie secretly records the gig and says the music demanded to be released, and that it told him its name: Xstabeth. The anonymous recording spreads, and the cult of Xstabeth is born. Aneliya, Tomasz’s daughter, believes that her mother’s death and her own brush with mortality in a game of Russian roulette are responsible.

This is a book rich in contradictions. Aneliya, who tells the story, gets pregnant by a man she calls “the famouser musician”, but says she feels empty and echoic, thinking of her unborn baby as both alive and dead at once. When she and her father take a holiday in St Andrews, it’s summer there, but winter in St Petersburg. Old photos superimpose themselves on the present. “We need a new word for death,” says the famouser musician. “Birth and birth eternal. Isappearing.” Xstabeth herself is “isappearing”: is she becoming real, or dissolving?

You can lose yourself in the novel’s weird loops and whorls, searching for resolution while luxuriating in the lack of it. Patterns emerge: this is a story of arcs, of trajectories – golf balls invisible against the drab St Andrews sky, stunt motorbikes soaring over a row of supine children. In one heartwrenching passage, where his words are punctuated by strummed chords written out in words, Tomasz sings of a man “shot from a bow … with such grace”. E minor. But what if he falls short, asks Aneliya. “C. A rainbow. He sang.”

Tomasz does fall short: he is deserted by the muse when Xstabeth breathes her song through another performer. He takes it as a crushing betrayal, and tries to win her back; but his daughter helps him take a leap of faith. Aneliya’s love for her father is the rainbow arc that illuminates the book.

This is Keenan’s most gnomic, gnostic work yet – at times it seems only loosely tethered to reality – yet it’s never portentous. There’s something here of the 19th-century Russian novelists’ passion for authenticity, their fervid drama. There are funny lines, too, which undercut the mysticism in a satisfyingly earthy way. Tomasz finds out that his Scottish girlfriend doesn’t like music, and is amazed. What do you like, he asks her. She thinks. “I like squid.”

That terse remark is typical of the syntax, which is brusque, definite. Full stops abound. Commas don’t. Dialogue tags are detached from speech, like this: “Like what. I said. Well. He said.” In other hands this could be irritating, but here it adds to the pleasingly blurry atmosphere, as one character’s voice overlaps with another’s, and boundaries between breath and air dissolve. The reader is persuaded to let go of a habitual reliance on structure and be enveloped in the haar rolling in off the shore of St Andrews.

Aneliya’s narrative is interspersed with commentaries written by academic disciples of “David W Keenan”, an authorial alter ego who died in 1995 after setting up a school of “magick, tarot and bibliomancy”. These go off at tangents from the main narrative, musing on the nature of memory, ennui, God, rainbows. It would be a stretch to say they shed some light on the book’s cloudy depths. But they add to the sense of a synchronous world being created even as you read, where past visions spark memories that echo the present, leaping across synaptic gaps with the grace of a bird in flight.

• Xstabeth is published by White Rabbit (RRP £14.99), To order a copy go to guardianbookshop.com. Delivery charges may apply.