I remember it being suggested somewhere that Graz'zt is the son of Nyarlathotep, which is something given how Pale Night the Mother of Demons, is an Eldritch Abomination herself, a being who's true form is so terrifying reality makes her appear as shroud on a feminine form. I think they've generally tried to keep the other part his lineage mysterious, possibly due to the ambiguous status of including stuff in the Chthulhu mythos in D&D. Pale Night who was first introduced Fiends: Faces of Evil, though is an established part of D&D since 2e. Having either Pale Night or Nyarlathotep or both as his parents, makes Graz'zt out to be far more foreboding than he often gets depicted as. He is a prince of lies too, so none of it could be true too.