This is supposed to be a play on the original name Nyarlathotep, however, if you actually read Lovecraft's letters, you will see that he says there is no proper way to spell these names because they are not meant to be said with the human tongue. So, either way works, really, since we're not supposed to be able to pronounce anything.
I think it should be spelled according to pronunciation in the anime. In general I would preserve the spelling of names, however, as this is subtitling I think the reference for the original should be the spoken name.
Moreover, it is not intended to be of English origin in the story. If the character was an American or an English person I would use the proper spelling. However, this name was inspired on an English name but is not in itself an English name and the original form was not intended to be read as an English name.
A good example of this would be when a german translation of
"Great chieftain o' the pudding-race!"
"Mächtig Führer der Wurstmenschen" (this was an anonymous student transcription of the book, and may be wrong)
which was then translated back into english
"Mighty Fuhrer of the sausage-people"
If it was supposed to be literally translated into English I would go for "guide" instead of "Fuhrer". And I definitely would have dropped the capital 'F' as it is not a name.