You might find this fun.
But don't be misled - Lovecraft had no consistent universe of characters and relationships. His "mythos" is a playful web of dark rumours and references to things unknown and unknowable. The idea of a pantheon is from Derleth and games, not Lovecraft.
The single best resource for a curious Keeper is Dan Harms ‘Cthulhu Mythos Encyclopedia’. https://www.amazon.com/dp/1934501050/ref=cm_sw_r_cp_awdb_imm_J7428Y8EW7NBDVQWNYZ0
Link is Amazon but many other options are out there.
It is a great summation of the core stories and authors, including plenty about Egypt. Robert Bloch wrote a lot of Mythos tales linked to Egypt so the collection ‘Mysteries of the Worm’ is a good second resource.
As for Dagon - the name is from the Philistines and it has a long, convoluted history of use in New England - https://sentinelhillpress.com/2015/10/23/october-ganza-day-23-dagon-in-new-england/
The Cthulhu Mythos Encyclopedia by Daniel Harms is excellent.
I will state: Not all deities are Elder Gods.
Not an RPG book but Dan Harms’ Cthulhu Mythos Encyclopedia is a great resource:
The Cthulhu Mythos Encyclopedia https://www.amazon.com/dp/1934501050/
ADDITION: I'm also going to be referencing <strong>this</strong> book.