That sounds great. I'm not really familiar with Jung's work beyond the archetypes; and I'm mainly only familiar with that because Northrop Frye used Jung's theory of archetypes to generate his own approach to literary studies.
There's a guy who teaches at The New School named Eugene Thacker who's done some work on Lovecraft. Not sure if you've come across him or not; he's actually in Media Studies/New Media, and his approach is more generally philosophical. He's interested in how we define "life" and what the theoretical underpinnings of life and death are, going all the way back to Aristotle. He's also very interested in medieval demonology.
Anyway, he has two books that you might consider looking at (if you have time; in academic writing, you eventually just have to cut yourself off somewhere):
After Life, and
In the Dust of This Planet.
The latter is newer and might be less helpful, if only because there's no index and it's difficult to navigate; but it is short, so flipping through it can't hurt. The former,
After Life, is denser, but it has an index and definitely has bits on Lovecraft and "supernatural horror" (one of Thacker's main literary/cinematic interests). Depending on your approach to your thesis, you might give some of his material a glance. I saw him speak at University of Chicago once; he's a young guy, very intelligent, so hopefully he has a lot to offer his field.
And on top of that, he also writes academically about black metal.