I quite like this idea. The reason we had a Cold War throughout much of the 20th century instead of yet another World War was largely, in my opinion, because weaponry had advanced to the point that everyone was afraid to actually use it (it could also be attributed to the reduction of superpowers from about half a dozen to just two, but let's ignore that for the time being.) What if this happened earlier? What if it happened a hundred years ago in the early 1900s, before World War I was even fought? And yes, what if the nature of those weapons that everyone was too afraid to use was Lovecraftian?
Could the Empires of the early 20th century survive in a prolonged Old Ones related Cold War? Could Tsar Nicholas have fended off the Bolsheviks who overthrew his state in the midst of World War I in real life? Could the Ottoman Empire have survived? The Austro-Hungarian one? Kaiser Wilhelm's Germany? The British Empire? The American Empire? Would the Japanese Empire have continued to surge? What else would have changed between now and then if Imperialism had managed to survive for another 100 years longer than it really did? How would these nations evolve for an additional 100 years scared to death not only of their enemies but also of the very weapons that they themselves were developing?
Feel free to comment. I'm not exactly sure myself what all this would mean, but I'm thinking it through, and wondering what to do with it. Some short fiction ventures? One-shot gaming? I'm undecided. Maybe both. Possibly neither.