There already is an Egyptian flavored nation: C'tis. C'tis seems to be a cross between Egyptian myths and the Stygians from Robert E. Howard's Conan stories, just with humans switched for lizards.
There is also already a Cthulhoid nation, R'lyeh. It doesn't get any more Cthulhu than that.
Arabian nights and the two oriental nations are good suggestions, however.
Edi