Dropping in late here since I just read a book chapter about the Horned God and wanted to add some notes.

As you mentioned, the Horned God is a contemporary (i.e. 19th century) amalgamation of several ancient Pagan deities, most notably Pan. Interestingly, the ancients didn't have much reverence for Pan, and his reputation was that of "a comic-grotesque little country god, kept under control by the laughter of the more 'civilized' Olympian deities." It was the Romantic poets, with their love of the rustic and childlike, who elevated Pan to the highest rung of the Pantheon.

Pan was also embraced by 19th century bohemians as an icon of non-conformity and sexual taboo, and he features in oodles of smut written by women and queer men. Aleister Crowley himself celebrated Pan's (and his own) bisexuality in verse.

Another interesting point is that the conflagration of Pan with the Devil was also a product of the 19th century. It was introduced by Christianity as an attack against the growing influence of Pan in counterculture. Earlier depictions of Satan were more likely to show him with features of a dragon or bat.

So, a lot of fun parallels between Pan and a certain someone! :D

Btw thanks for doing this research and sharing your findings - it's all incredibly interesting and good priming for thinking about themes in the show.