I would have to dig out my copy of Lovecraft's Library: A Catalogue, to refresh my memory on how many are listed, but I know HPL had a fairly good selection of classical dictionaries and translations/retellings of the myths of western civilization at least, as well as some dealing with others (if memory serves).
Have you read Joshi's full biography of Lovecraft, I Am Providence? It goes into this aspect a fair amount early on; and there have been various papers written about it as well. There is a volume of essays about Lovecraft and influence (both on and from) coming out, edited by Robert H. Waugh, that you might find interesting. I don't know the full contents, but it wouldn't surprise me to find someone had done a piece on the importance of the classical myths for it. (Robert M. Price has also done some work on the influence of the Bible on Lovecraft, particularly such works as "The Colour Out of Space" and its relation to the story of Sodom and Gomorrah.)
