You know that frowny-stare face, a kind of "what did you say?" expression? My face has that exact look to it.
1. A Mary Sue is an author insert, an embodiment of wish fulfillment, an idealized person,
a plethora of different things. Cthulhu doesn't meet
any of those definitions besides "Mary Sue as Protagonist You Don't Like", and even then Cthulhu is not the protagonist.
2. By even referring to Cthulhu as a character, you're missing the point. Death (when not personified) is never treated as a character. It just happens. Cthulhu is never treated as a character, either. He/it/she is a goddamn
force of nature, a being so vast and powerful that Lovecraft generally avoided giving a complete description of the thing in any of his stories, so as lessen perceptions of him/it
being a character. Cthulhu doesn't
do things. Cthulhu just
happens, like thunderstorms or death.
3. Goddamn read a story and
then make a judgement.