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 CIRCLE: "The Horror from the Hills" and one posthumously published as HPL: "The Very Old Folk". It was also mentioned in HPL: "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 penned by Lovecraft for CIRCLE: "The Shambler from the Stars" by Bloch.
Lovecraft also mentionned the "Not-to-be-Named One" in HPL: "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 Azathoth. (HPL: Selected Letters of H. P. Lovecraft 4.617) The Nameless Mist was given the name "Nyog'Sothep" and "N'yog-Sothep" by later authors.
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.