From a certain point of view, the source of all the madness in the stories comes from the book (The King in Yellow theater opera), which itself is connected to Hastur. So, even if indirectly, all the stories are connected with cosmic horror. Still, the KiY was only “adopted” way later in the pantheon of the entity of the Cthulhu Mythos. In the beginning, he was his own thing. A metaphor for the decadence and the corruption of the era.
From a certain point of view, the source of all the madness in the stories comes from the book (The King in Yellow theater opera), which itself is connected to Hastur. So, even if indirectly, all the stories are connected with cosmic horror. Still, the KiY was only “adopted” way later in the pantheon of the entity of the Cthulhu Mythos. In the beginning, he was his own thing. A metaphor for the decadence and the corruption of the era.