The physical manifestation of beings like Nyarlathotep, Dagon, Hastur, Yog-Sothoth, and, of course, Cthulhu are not the very foundation of Lovecraftian cosmic horror. There are people who somehow miss the point of these beings, thinking that it must be specific bodily features like the tentacles of Cthulhu that are what makes a story fall in the cosmic horror genre. This is far from being one of the defining traits of cosmic horror, a happenstance but thematically fitting element that is but one way to distinguish the powerful eldritch entities of Lovecraftian stories from the human characters who seek or fear them. If Lovecraft and later storytellers of the genre had never conceived of a single eldritch being with tentacles, the heart of cosmic horror would be no different than it is. Perhaps some other equally mainstream physical trait would have taken their place, though to fixate on this is to focus on secondary or tertiary factors of Lovecraftian themes.
Cosmic horror is not primarily about the physical forms of these grand extraterrestrial or extradimensional beings, regardless of how exotic or enormous or polymorphic/shifting those forms are. After all, it is not as if cosmic horror is about mere octopi, animals with have tentacles of their own! Tentacles are not intrinsically linked to horror at all. Was this not the case, a basic octopus would be a visible representation of cosmic horror because of its strange (compared to land-based creatures) appearance or abilities. More than his facial appendages not summarizing the genre, Cthulhu was never just a monster with octopus features on his head. Cthulhu, the Great Dreamer of R'lyeh who has become the most recognizable face of Lovecraftian horror, might now be a fairly popular figure from fiction, but his tentacled head and his aquatic confinement are not the defining characteristics of an eldritch being, much less of the existential horror they channel.
It is certainly not tentacles or underwater titans like Cthulhu that are the heart of cosmic horror. It is human vulnerability, epistemological limitations, metaphysical possibility, and the issue of whether humans have objective value as they inhabit a hostile universe that are the real core of at least Lovecraft's brand of cosmic horror. He, despite his idiotic atheism, even went so far as to put forth the literal deity Azathoth as the supreme being of his fictional metaphysics, perhaps as an expression of personal fears he harbored about the very concept of a divine being who could remove all of humanity and the material world from existence by thought alone. The irony of this does not receive anywhere as much direct attention as its layers truly merit. Here, the things at the heart of cosmic horror are more plain than even anything to do with the Great Dreamer himself.
Even in Lovecraft's own mythos, it is not the absence of God that is the source of existential horror. In part, it is the existence of an actual god that generates a significant amount of the horror. This is the paradox of how Lovecraft's nihilism and atheism, which he at least was honest enough to realize are inseparably connected even if many will deny it to themselves, did not lead him to exclude theistic aspects from his cosmicism--which is just another name for the same kind of nihilism which a person does not fallaciously think of as "liberating" or "empowering." At least Lovecraftian stories do not reflect a moralistic atheism or any such concept that is contradictory in that manner! Instead, they explore a nihilistic or absurdist theism. A deity who neither knows nor cares about his creation, his Azathoth is even more of a fundamental expression of cosmic horror than Cthulhu: it is ideas or truths that are the originator of existential dread, not anatomical parts we already observe in terrestrial creatures.
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