Er, you should be careful with Dunwich. There are (at least) 2 Dunwiches: the one you certainly don't want to point to is
Dunwich, England
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?
August Derleth incorporated it. I don't believe it's in Lovecraft's stories anywhere, but he does borrow "Hastur" from Chambers. Also Lovecraft in his real-life correspondence used to state that "The King In Yellow" was inspired by the Necronomicon. Just some of his play-acting, of course. Derleth then took that another step and made the King in Yellow (the character, not the book) an avatar of Hastur. Chaosium played it up further in CoC
? if I remember correctly.--
Paul Drye