Ahmed could ask who took his blanket. He need not be annoyed but only curious. If someone else was cold in the night it would be natural to ask who that was, if not in anger then with concern.

If he confronts an obstical or two when fleeing the ghost it raises the tension. If his horse stumbles or slips that would add to the excitement. You could have them recover quickly and race on. If he panics and so gets lost while escaping, again there's more tension. His friends could come and find him.

Keep practising at your writing.