Yuggoth. However, there are rules for the naming of planets, so the name chosen by the discoverer is not necessarily the "official" name. The dwarf planet Eris was originally referred to as "Xena" by the team which discovered her. The International Astronomical Union gave her the boring, temporary designation of 2003 UB313; and other names were considered before Eris became official.
As the Cthulhu Mythos are not considered a "real" mythology (until the day that the stars are right, and then those fools will learn the errors of their ways!!) my choices would be rather limited. So, since I have to choose a character from an actual, historical mythology, one which hasn't already been used in astronomy (as far as I know), my choice would be Anansi.