Plus the Demon: the Fallen setting includes these same Fallen sometimes being drawn into reliquaries where they become Lovecraftian monstrosities glutted and warped by the twisted faith of their evil cults. And while the form of horror would be different … there is something terrible about looking up at some monstrous being and seeing your horrifically warped kin. Actually there is something quite Lovecraftian about that, especially as these characters could warp the same way eventually….
Naturally this requires a few setting changes to both. Namely the God who made the angels didn't make the universe but this portion of the galaxy and it made it according to certain rules that would stabilise reality and prevent the rise of more horrific entities. It never told the angels this, of course, never thinking they would disobey as it couldn't truly comprehend them either. It had three life giving planets created to support intelligent species that could clamp down on reality and prevent the infiltration of other entities.
These included the Elder Things, Mi-Go and Humanity. The angels were divided in focus across these three planets and instructed to love them as much as they loved God (love = devotion in their terms) but these creatures were left in a state of blissful ignorance (which fits in with the Lovecraftian Knowledge = Sanity Loss). Eventually one small prophetic angel set to examine the possibilities of the future foresaw something horrific coming and so one third of the angels (led by Lucifer) went to bring sentience to the three races so that they could be better prepared.
Things went well for a time, but then the Great Entity saw what they had done and offered to un-make the accidentally rebellious angels (they thought the Great Entity would want that)as penance and to remove sentience from the three main races. Few angels agreed with the suggestions though a third of humanity and Mi-Go agreed (the Elder Things just telepathically projected themselves into the future to avoid what was coming).
The world was scoured by the Great Entity in its attempt to re-set the clock, protecting only the earlier obedient angels and those mortals who had chosen ignorance, but the fallen hid with their chosen people, divided up into five factions, and went to war. A number of creatures were made during this war, such as the Deep Ones (products of the Palace of Sighs) and the Shoggoths (created by Elder Things empowered by Rabisu during the more enlightened eras). Eventually they were rounded up and cast into the blackest pit, a place called the Abyss, in the lightness centre between solar systems.
Of the three races, Humanity was always the weakest, and yet in its weakness came a certain quiet fortitude in terms of holding the sanity-shredded otherworldly reality at bay. While the Mi-Go quickly fell to the assault of otherworldly beings connecting to their minds, and the Elder Things fell to hubris, Humanity kept quietly churning along in a way that kept this solar system in particular from falling to the reality bending horrors that were right outside our door.
Eventually some of the fallen angels were summoned from the pit and found no sign of the other angels nor the Great Entity. They were typically some of the more powerful spirits, since their names were more widely known in whispered dreams, and they could not possess humanity due to their great spiritual weight. Instead they were cast into grave idols. These fallen angels slowly devolved due to their own madness from the abyss and the fell prayers made to them and are now hideous versions of what they once were.
Many of these Earthbound Fallen are the fell entities of Call of Cthulhu and many of the splinter masks of Nyarlathotep are actually separate entities thought to be one. The Arch Dukes are Cthulhu / Belial, Mask of the Bloody Tongue / Abaddon, Black Pharoah / Asmodeus, Daoloth / Dagon and Hastur / Azrael. Only Dagon's original name has been changed to XXX to avoid confusion with a certain large Deep One.
Shub-Niggurath, Azathoth and Yog-Sothoth all remain as they are in the Lovecraftian universe as terrible things from beyond the stars, or causal principles given life. Y'Golonac and the like are typically lesser Earthbound. Of course if the players start to assume that all entities they glimpse belong to their own species they're going to get a very rude surprise.