It's reasonable that old mental asylums would have their share of hauntings.
Plenty of 'normal' people/spirits have problems dealing with the fact that they're dead. Imagine a confused or insane mind trying to rationalise death, or trying to work out why most of the living can no longer hear or see them.
Various paranormal investigators record EVP's that sound like the words 'Help Me', and I believe sometimes we dismiss it because we hear it so often (in the same way we dismiss the idea that Elvis is talking to a 1000 different psychics)...... mostly because it's such a common thing - (and becaue we can reasonably assume Elvis has better things to do).
However, when you think of a spirit trapped in a mental asylum and not understanding that they are now dead - what else would they say, but 'Help Me' ?