I believe the 'veil' he references is from this poem by Shelley (which he quotes in PiHKAL):

  "Lift not the painted veil which those who live
  Call Life: though unreal shapes be pictured there,
  And it but mimic all we would believe
  With colours idly spread,--behind, lurk Fear
  And Hope, twin Destinies; who ever weave
  Their shadows, o'er the chasm, sightless and drear."