The King in Yellow isn't part of the mythos: its from Robert W. Chambers' stories around the late 1890s, predating the mythos by several decades. Though Lovecraft certainly read it, and adopted the theme of a book that drives men mad, he didn't explicitly include it in his stories. Unless later writers incorporated it?
OK then. I think the name Hastur was originally from Ambrose Bierce, and what with Chambers. Derleth and Marion Zimmer Bradley's Darkover stories, he/it has certainly had a long career. Perhaps we could mark canonical Lovecraft characters from other authors - IIRC Dagon is actually an ancient Phonoecian fish god, and not invented by Lovecraft. -- Malcolm Farmer