Not 100 % sure but I think the concept of museums of haunted objects is largely a North American phenomenon.
In Europe infamous and supposedly “haunted” or “cursed” artifacts tend to be held and put on display in the larger museums like the Louvre, British museum, Ashmolean etc.
For some reason supposedly “paranormal” activity in Europe also tends to be centered less on artifacts / objects and more on actual places and sites and particularly those with sinister and bloodthirsty histories like castles, old prisons, old asylums and sites of battle and execution etc.
However, there are a number of museums that are themed on and hold artifacts relating to historical witchcraft (though the authenticity of some objects is questionable) and I can think of a number of these that exist in England (the only museum of this kind that I’ve actually visited) , Scandinavia and Spain.
Another thing worth mentioning is that there are often seasonal exhibitions at museums that delve into the history and folklore of ghosts / the supernatural and witchcraft so it always pays to keep an eye out for these.
For example, I saw a fantastic exhibition a few years ago at the Ashmolean in Oxford in the UK on witchcraft that contained some really fascinating artifacts and if I remember rightly I posted some pictures of this in the AO forum.