I always wondered where Howard came up with some of them, as many sounded Amerindian or East Asian influenced rather than always Egyptian.
I know the Lovecraft/Chuthulu equilvent to Set was the evil Amerindian god called, Yig. Not sure if this was entirely a concocted deity or based on some real one.
Thugra Khotan, i figured it came from the kingdom of Khotan or Hotan in modern day China:
Thulsa Doom is more tricky, not sure whether its a play on Thule, combining it with Doom, thus the Doom of Thule or such. Perhaps signifying he's the last survivor of this dead land?! Or maybe its from the city of Tulsa, Oklahoma?
Tsotha-Lanti, is more easy I think, its via Lovecraft or more precisely Clark Anston Smith. I thinks its a variant of Tsathoggua. Also Tsotha-Lanti was connected to Lovecraft's Dagoth. The CTD Dagoth was also some kinda gug/toad like creature much like Tsathoggua.
The "Tsho" I think is Amerindian, but maybe could be Sanskrit or Tibetan too. Either way I know all of these were used alot and intermixed by Howard and company..Tibet was very popular in Blovastsky's writings.
Xaltotun, another Lovecraftian like name ..which sounds Amerindian again, perhaps Aztec. Places in what is supposed to be Sub-Saharan Africa in Hyboria also sound more Mesoamerican than African, Xuthal and Xuthotle. WHich is nearly exactly the same as Nahuatl/ Aztec language :