BibTeX:
@incollection{LadyBlomfield1940,
  author = {Lady Blomfield},
  title = {The Pilgrimage That Never Came},
  booktitle = {The Chosen Highway},
  year = {1940},
}

APA:
Lady Blomfield. (1940). The Pilgrimage That Never Came. In *The Chosen Highway*.

MLA:
Lady Blomfield. "The Pilgrimage That Never Came." *The Chosen Highway*, 1940.

Chicago:
Lady Blomfield. "The Pilgrimage That Never Came." In *The Chosen Highway*, 1940.