I knew that snowmen were called mi-go in Nepal from that Tintin comic before I read any of Lovecraft stuff. Tho tbh I dident find out Lovecrafts creatures were called Mi-go untill I got hold of some cards for a game. Remind me, do he ever name them in any story?
Actually, they have many names in Lovecraft's writtings, mainly as they're refered as stuff of legends all over the world, giving many names in regard to the culture they've been in contact with (from Celts to Tibetans through american natives). The name of 'mi-go' is attached to them by further Mythos contributors, not Lovecraft himself. Yet he placed the reference in the 'whisperer in darkness' short story, not naming them 'mi-go', but saying they're connected to the tibetan legend of Mi-go.
I guess the name was exotic enought to be retaken as a generic name for the race of extraterrestrial beings. Remember it was the 30s, and the same source of inspiration in philosophy, cultural features and sprirtual beliefs were highly (mis)used.