The main objective of the short story is to stir the reader's emotions. How you stir them or what emotion you stir is not so important as the fact that to hold the reader's interest you must stir his emotions. You must be able to create various emotional effects thru your characters, action, description, setting, etc.
Constant practice is the key to success. You cannot learn music without practicing it, neither can you learn to write without writing. I suggest that, for your own benefit, you write a few hundred words depicting an emotional experience. Write up one of your own experiences or invent one. But remember that you are writing it with the purpose of stirring an emotion in the person who reads it. The sketch is not to be a story but merely an incident-no opening explanations are necessary.
When you are reading a story watch for the passages in which the author is relating an emotional experience and inducing the emotional feeling in you. By studying how that particular author is doing it you will be better able to do it in your own work.
I believe that the following partial quotation from "The Double Shadow" will serve to illustrate the building up of emotional feeling:
... a second day has gone by like a sluggish ooze of horror . . . I have seen the . . . identification of the shadow with the flesh of Avyctes ... I have seen the slow encroachment of the . . . umbrage, mingling . . . with the lank shadow and . . . bituminous body of Oigos, and turning them to ... the thing which Avyctes has become. And I have heard the mummy cry out like a living man in great pain and fear . . . And verily I know not if the thing that has come to us be one or several . . .
But these things ... I shall soon know; for now, in turn, there is a shadow that follows mine, drawing ever closer. The air congeals and curdles with an unseen fear . . . and the great marble women seem to tremble where they stand along the walls. But the horror that was Avyctes, and the second horror that was Oigos, have left me not . . . And their stillness is more terrible than if they had rended me limb from limb. And there are strange voices in the wind, and alien roarings upon the sea; and the walls quiver like a thin veil in the black breath of remote abysses.