the deep one's certainly worship Dagon (c.f., The Shadow Over Innsmouth)

Plausible but not confirmed; that would be an obvious interpretation of 'Esoteric Order of Dagon', but for all we know it could be the fishman version of 'Society of St. Vincent de Paul' ;-)

Or more seriously, things like the Hermetic/Rosicrucian orders, and indeed Buddhism, which are named after a bringer of wisdom who isn't himself a god. Looking at what they did with Hastur, more than one of these things could be true...