I mean, Lovecraft just went with OG Abrhamic stuff.
When they talk about angels in the Bible, they weren't talking about beautiful elves from Lotr with wings.
They were something that interacting with would break your mind. Because the people claiming to see them had broken minds already, that's why they were "seeing" them in the first place.
Which makes sense because what started the Abrhamic religions was a schizophrenic hearing voices to murder his family to appease the voice(s) in their head.
It's been whitewashed over the centuries, but that's all it is. The followers of a schizophrenic carrying on his delusions that began with murdering his brother. And they're still being told if they ever experience those symptoms, they should fucking listen instead of getting mental health treatment.