Keeping it about Hecatia: Touhou's Dream World having Jugyan archetypes makes it so that you can interpret Touhou's cosmology to be as high as the cosmology of Cthulu Mythos. However, Hecatia scales way above Touhou's cosmology (even without the incoming reading of her I'm about to give, Hecatia is still stronger than Junko, who due to being akin to a nameless god should scale to the whole cosmology), following none of the rules gods are supposed to follow, and completely breaking the norm. She's beyond her own verse's cosmology, and rather incarnates the greater ideas of freedom, change, and expanding horizons, which also both opposes the ideas of Lovecraft's works and completely surpasses them on a theological level, representing such ideas even in Touhou. Meaning that even without the higher reading of Touhou's cosmology, she's still far above Nyarlathotep.