The Nameless Mist is an Outer God. It is the progenitor of several other cosmic entities, including the Outer God Yog-Sothoth. It is older than everything except Azathoth (its creator) and the Unnamed Darkness (its sibling).
Its powers include possible omnipresence, reality warping, acausality, spacetime manipulation, immortality, and incorporeality.
Behind the Mythos
The Magnum Innominandum idea came to Lovecraft during a Roman dream he recalled in three letters, one of those being incorporeted in "The Horror from the Hills" and one posthumously published as "The Very Old Folk". It was also mentioned in "the Whisperer in Darkness" alongside many mythos concepts such as Hastur, the Yellow Sign or Yog-Sothoth. It also is part of an incarnation from De Vermis Mysteriis in "The Shambler from the Stars" by Bloch.
Lovecraft also mentionned the "Not-to-be-Named One" in "The Mound" as husband of Shub-Niggurath. He also introduced "Him Who is Not to Be Named" along with other names such as Shub-Niggurath or Nyarlathothep (though Yog-Sothoth is not named in the invocation).
Lovecraft mentioned the Nameless Mist in a family tree of Cthulhu he jokingly wrote in a letter.
The Magnum Innominandum and The Nameless Mist were unified as the same entity later by other writers, notably by Lin Carter and by the Call of Cthulhu RPG.
Lovecraft's tongue in cheek family tree:[3]
Azathoth / ___________________________/__________________________________ / / / Nyarlathotep The Nameless Mist Darkness (The ancient patrician / / gens Viburnia of Haec / / RESPVLICA.ROMANA) Yog-Sothoth------------+---------Shub-Niggurath / / / ____________/___________________ L. Viburnius Marco / / / Nug Yeb / / / P. Viburnius Marco / / Legatus of Legio 11., Cthulhu* Tsathoggua* station'd at Isca Silurum, / / in Britannia Secunda / / in A. D. 103 Shaurash-ho Yabou / / / / / / / Yogash the Ghoul Nush the Eternal / / / / / / / K'baa the Serpent Gilles Grenier, / / Lord of Averoigne / ** / / Viburnia-----------+-----------Ghoth the Burrower / / (one of the Little People) Hippolyte Le Sorcier, / ancestor of Llunwy of Wales Clark Ashton Smith ancestor of Owen Gwynedd and of H.P.L. * First of their respective lines to inhabit this planet. ** This union was an hellish and nameless tragedy.