I'm not even sure, for example, that the Nyarlathotep of "The Dream-Quest" is the same entity as the Nyarlathotep mentioned in "The Haunter of the Dark," or that the creature in "Dagon" necessarily has anything to do with the Dagon-worshipers in "Shadow Over Innsmouth."
My viewpoint of Dagon in both the original story and the Dagon worshipers in The Shadow Over Innsmouth
is that they were not necessarily worshiping the "actual" Dagon, but the closest "human" approximation of these creatures that they've experienced. After all, Dagon is an actual mythical creature long before Lovecraft ever wrote about it, and it is often said that The Call of Cthulhu
is an extensive rewrite/reworking of the short story of Dagon
. Granted, in The Shadow Over Innsmouth
, the Esoteric order worships "Father Dagon," "Mother Hydra," and Cthulhu (to an admittedly lesser extent), but I always got the impression that "Father Dagon" and "Mother Hydra" were just "names" attached by the Esoteric order while they were still human enough to bear some resemblance to humans before they joined the Deep Ones. I never felt that those were actually
what those beings were called - I don't think they ever said, "I am Father Dagon!"
As for Nyarlathotep, I would still say that while it may not be the
same entity, it fulfills the same function among the various stories... Messenger, Deceiver. Even if it isn't supposed to be the same character, the function of the character seems to be the same.