The wikipedia page should explain it well. I suppose it'll be changed slightly in this world since not all the Cthulhu Mythos creatures would be in it.

But, Nyarlathotep is a creature that can appear in many forms. Literally. It's known to have like a thousand other forms, ranging from an Egyptian Pharaoh or an overweight woman, to more sinister things like this to this. In addition to basically being scary as ♥♥♥♥ to look at, he'd be pretty strong and intelligent.

I suppose for the mythology here I could base it heavily on the Egyptian bits of his mythology (since he appears in just about every culture in Lovecraft's world). The story behind him is in Ancient Egyptian times there was a mysterious man who claimed to be Pharaoh. He proved this by performing supernatural feats. After he would leave the city, the citizens would be plagued by nightmares of doom and despair.