As I understand it, "paranormal" only exists as a shelving category in one or two chains. I believe Books-a-Million does but I've never been in one, so have no way to know for sure.
Realistically, it comes down to shelving. "Urban Fantasy" sits on the ScienceFiction/Fantasy shelf. "Paranormal Romance" sits on the Romance shelf. LKH's series are neither. They have always sat on the Horror shelf (or Dark Fantasy, if the store is big enough to split them out.) Now, there are some stores that ignore the spine classification (there actually is a notation or code on most spines telling the bookstore where to shelve the book) if they've determined their particular clientele considers the book to be something else and continually goes there to find it.
Our first two series, for example, the Tales of the Sazi and Thrall series, were spine classified as romance, and ARE romances. But readers kept looking for them in the SF/F shelves because of the strong fantasy aspect, so many chains would move them, or double shelve them in two spots.
Does that help?