As @2012rcampion said, this is only possible when $n$ is even: The sum of all row and column sums of a witchcraft square is the sum of $2n$ consecutive natural numbers, and if $n$ is odd, this sum contains an odd number of odd summands and is therefore odd itself. However the sum is also twice the sum of all matrix entries, so it must be even too. This is a contradiction.
So let's let $n$ be even. There exists a witchcraft square of size $n$, and this is how to construct one:
Consider this square $n\times n$ matrix:
$$A := \begin{pmatrix}
0&0&0&0&\cdots&1\\
0&0&0&0&\cdots&4\\
0&0&0&0&\cdots&5\\
0&0&0&0&\cdots&8\\
\vdots&\vdots&\vdots&\vdots&\ddots&\vdots\\
2&3&6&7&\cdots&x \end{pmatrix}$$
Here the rightmost column, ignoring $x$, contains those numbers from $\{1, \ldots, 2n-2\}$ which leave a remainder of $0$ or $1$ modulo $4$, and the bottommost row contains all others.
Note that the right column sum is greater by $1$ than the bottom row sum, no matter the value of $x$. So let's choose $x \in \mathbb{Z}$ such that the sum of the values in the last column is $2n-1$ and the sum of the values in the last row is $2n$.
With this choice of $x$, $A$ is a witchcraft square up to the requirement that all entries are natural and distinct. To fix that, simply add a large multiple of any natural $n\times n$ magic square.
Example for $n = 4$:
$$\begin{pmatrix}
1200&100&1400&701\\
1300&800&1100&204\\
300&1000&500&1605\\
602&1503&406&897
\end{pmatrix}$$
Note that there aren't any $2\times 2$ magic squares, so I'll add an explicit example for a $2\times 2$ witchcraft square (thanks @MikeEarnest):
$$\begin{pmatrix}
3&1\\
2&5\\
\end{pmatrix}$$