Aaaand here's a few more I found, from some early issues...
No. 1: Bulette (Creature Features, no author listed, later appeared in 1E MM, 2E MM, 3E MM)
No. 2: Remorhaz (Creature Features, no author listed, later appeared in 1E MM, 2E MM, 3E MM)
No. 5: Ankheg (Featured Creature, no author listed, later appeared in 1E MM, 2E MM, 3E MM)
No. 6: Death Angel (Featured Creature, John Sullivan, now in the CC)
No. 17: Angels (Angel of Wrath, Angel of Healing, Archangel of Mercy, Seraphim) (Messengers of God: Angels in Dungeons & Dragons, Stephen H. Dorneman)
No. 20: Tuna-of-the-Eternal-Waters, Amakua, Vahine-Hae (The Mythos of Polynesia in Dungeons & Dragons, Jerome Arkenberg)
Well, came across another couple of old issues of The Dragon - #12 and #29. Here's a few critters what were left out.
12 - Archangels (Vohu Manah, Asha, Khathra Vairya, Armaiti, Haurvatat & Ameretat, Sraosha, Mithra), Yazatas (Vayu, Tishtrya, Ardvi Sura Anahita, Verethranga, Rapithwin, Atar, Haoma), Archdemons (Aeshma, Azhi Dahaka, "other Archdemons" (generic stat block for all of them)), Demons (The Persian Mythos, Jerome Arkenberg)
12 - The Great Old Ones (Azathoth, Cthulhu, Hastur the Unspeakable, Nylarthotep, Shub-Niggurath, Cthuga, Ithaqua, Yig, Yog-Sothoth), byakhee, the deep ones, the great race, the old ones, the mi-go, the shaggoths (The Lovecraftian Mythos in Dungeons & Dragons, Rob Kuntz)
29 - Porpoise girls, Ndengei, sky maidens, adaro, dogai, Origoruso, marsalai, Figonas (Koevasi, Hatuibwari, Agunua) (The Mythos of Oceania in Dungeons & Dragons, Jerome Arkenberg)
Doesn't really matter, seeing as every one of them, cosmic entity and servitor race alike, shows up in Cthulhu d20, which has guidelines for conversion to D&D anyway. Just listing them for the sake of completeness.