"eldritch music from the witches' sabbath"

It was believed, particularly in the Middle Ages, that people practising witchcraft would gather at midnight to dance and commune with the Devil through profane rituals.  These, it was said, included the destruction of religious imagery, eating human flesh, a Black Mass, nudity and orgies involving demons. Until the 17th century people were tried for involvement in witches' sabbaths.

At these gatherings, the Devil would appear in the form of a goat.  The Black Mass element involved the host (the bread used in Catholic Mass), obtained from a corrupt priest or stolen from church, being profaned through sexual practices.

In Germany, Walpurgisnacht on April 30 is associated with witches holding a great celebration to herald the arrival of spring; this is the same date as Rosencreutz' 'May Eve'.  Carter references Walpurgisnacht again in The Werewolf, a short story from The Bloody Chamber (1979).

Arthur Miller's play The Crucible (1953) uses the Salem witch trials of the 17th century as a metaphor for the McCarthy trials of suspected Communists in 1950s USA.  In it, a group of girls are suspected of communing with the Devil at night under the leadership of Tituba, a black slave.  

Felix Mendelssohn composed a cantata, The First Walpurgisnacht, in 1831 based on a long poem by Johann Wolfgang von Goethe.  Goethe also refer to Walpurgisnacht twice in his play Faust (1806).

The witches' sabbath inspired two further works of the classical music canon; Modest Mussorgsky's  Night on Bald Mountain (1886), arranged by Nikolai Rimsky-Korsakov, and the fifth movement of Hector Berlioz's Symphanie Fantastique (1830).

An 1823 painting by Francisco de Goya, subtitled The Great He-Goat, depicts a large group of women meeting with the Devil in goat-form; it satirises the old beliefs in the reality of withcraft and the Black Mass.

The clowns' black dance is the recognition that Buffo, unlike Jesus, will not return; that if anything he was a clown-devil and not a clown-god, and that his was a path of destruction rather than redemption.  They disappear at last to join him, leaving Limbo, perhaps, to walk beside their master in Hell.