Yeah, and you can see it in his fiction as well. While in earlier stories characters literally kill themselves or go insane because they are not racially pure, the narrator in "Shadow over Innsmouth" looks forward to his final transformation into a fish person:

I shall plan my cousin’s escape from that Canton madhouse, and together we shall go to marvel-shadowed Innsmouth. We shall swim out to that brooding reef in the sea and dive down through black abysses to Cyclopean and many-columned Y’ha-nthlei, and in that lair of the Deep Ones we shall dwell amidst wonder and glory for ever.