Unlike the previous game, Annet Futatabi has next to no references to the Cthulhu Mythos...other than one really major one, regarding Zigfried. It had been played up that there was something mysterious about him, and at the end of El Viento, he seemed glad Hastur was gone for the wrong reasons, mentioning that he would not allow Hastur to destroy his "beautiful plan".

In Annet Futatabi, Zigfried finally reveals who he really is: Nyarlathotep! He isn't actually named by the characters, but the game's credits reveal that he's "Dark God Nyarlathotep". Transforming into a strange monster which is clad in armor, Nyarlathotep serves as the game's final boss.

In the Cthulhu Mythos, Nyarlathotep first appeared in the short story "Nyarlathotep", which was originally published in 1920. Nyarlathotep is a God, but unlike the other Gods featured in the works of H.P. Lovecraft, he's more interested in causing chaos than destroying everything -which ties in with what Zigfried says at the end of El Viento, along with his experiments with bio-weapons in Annet Futatabi. And the Lovecraftian Nyarlathotep is capable of changing his form, including being able to change into a human -much like how Nyarlathotep spends a lot of his time as the human Zigfried in the game.

In "Nyarlathotep", he is described as looking like a Pharaoh. This is not something that carries over in Annet Futatabi, however there does seem to be a reference to this -in the third level, you'll fight in front some seemingly randomly placed hieroglyphics at one point, and in image of a Pharaoh's tomb can be seem. The hieroglyphics don't appear to mean anything, from what I can tell. Another reference is during the final boss fight, as the background features more hieroglyphics.

Its been established that Wolf Team had a copy of Petersen's Field Guide to Cthulhu Monsters, as several enemies in El Viento are based on drawings in that book. The book does feature an image of Nyarlathotep, however it seems that Wolf Team decided not to use it in Annet Futatabi, and go with their own design. The picture in the book features Nyarlathotep as "The Howler of Darkness", a three legged beast which is 55 foot tall -it's probably for the best they didn't try to put something this big in the game: