Typhon & Set
FWIW, I think that the King Jesus/Typhon business is a red herring. I think that Graves' construction of a Set/Typhon story from fragments of Roman/Greek slander against Jews & Christians and other bits & pieces is too fragile and tendentious to be the kind of thing Wolfe melds into his stories.
But it is interesting to think of an Egyptian rather than a Greek Typhon in the context of New Sun. Typhon was identified with Set, the slayer of Osiris, and thus a Satanish kind of figure. Even more explicitly (from the link below):
"In its second form the two Combatant gods are Ra and Set, and the chief object of the latter is to prevent Ra from appearing in the East daily."
So "Typhon" is quite an appropriate name for an enemy of the New Sun.