Would you agree with placing Keat's poem "La Belle Dame Sans Merci" in the mystery section?

Describing this poem as a mystery does seem to be an appropriate choice. It certainly has a mysterious air: the descriptions of the landscape are melancholy and gloomy: "the sedge has withered from the lake, and no birds sing." The poem's narrative portrays a relationship that is described in mysterious terms as well, as the knight meets a woman randomly and falls in love with her ("I met lady in the meads"), but doesn't know...

Describing this poem as a mystery does seem to be an appropriate choice. It certainly has a mysterious air: the descriptions of the landscape are melancholy and gloomy: "the sedge has withered from the lake, and no birds sing." The poem's narrative portrays a relationship that is described in mysterious terms as well, as the knight meets a woman randomly and falls in love with her ("I met lady in the meads"), but doesn't know her name or much at all about her.

But the main point is that the poem itself is presented as a mystery. The poem opens with a question: "O what can ail thee, knight-at-arms, alone and palely loitering?" We the reader are put in the position of directly addressing the knight and inquiring about his life based upon his appearance. We're asked to solve the mystery of why he looks and behaves as he does. The knight is a man who is wandering alone, looking "haggard" and "woe-begone," and we don't know why, exactly, but it gradually becomes clear he is sick with love. 

The lady is also portrayed in mysterious terms; she is "a faery's child" which suggests she may not be fully human, based upon the folklore of the British Isles that says faery folk live in the wild and can seduce and manipulate humans to do their will. They do this in various ways: sometimes by singing (she sings "a faery song") and also by sharing food and drink ("roots of relish sweet, and honey wild, and manna-dew") that can cause humans to lose track of time. She also speaks "in language strange." All of these clues lend the poem an air of mystery and leave the reader with a lingering sense of foreboding and with many unanswered questions.