Of course, you cannot consider the mythology without taking into account the play. If the mythology of the King is considered to be something of a religion then the play is undoubtedly it's holy book. The story told by it becomes a parable, a lesson, as demonstrated, perhaps, by James Blish's version in 'More Light'. Of course, as with any holy book, this doesn't mean the story is grounded in an imaginary world, with no basis in reality. Whilst none of the people from the short stories we read seem to encounter the characters from the play, we do get echoes from that other world, dreams, nightmares, visions and visitations.
If we take the original book by Chambers as an example, we have several stories that mention the play, but each present different 'encounters' with the King. 'The Yellow Sign' is the only one with any tangible proof of some sort physical manifestation of the King (or some otherworldly presence) in our 'mundane' world. 'The Mask' has it's protagonist falling ill and having feverish nightmares, though he recovers - the horror of this story concerns other, apparently unrelated factors. The victim trapped in 'The Court of The Dragon' suffers a nightmare too, albeit a very lucid one, only to end up facing an unholy vision of the King's domain - or is he, ultimately, drawn into it? Finally, 'the Repairer of Reputations' seems to be the narration of one man's delusion, and has no 'fantastic' intrusions at all, bar the futuristic backdrop. The truth of even this reality is debatable. Is the 'real world' or the 'perceived world'? The story is the story of a mad man after all.
If we look a little further, at the stories of other writers, we see other people's additions. Some seek to add quotes from the play, with James Blish going as far as to attempt to write most of it. 'More Light', however, fails to account for all the scenes hinted at by Chambers. For example, the following recollection - "I remembered Camilla's agonized scream and the awful words echoing through the streets of Carcosa. They were the last lines in the first act" - is notably absent from Blish's script. Also, the unmasking that takes place in the Blish story, towards the end of Act Two, is part of Act One, Scene Two according to Chambers, possibly just before 'Camilla's agonised scream' and the intermission before the terrible Act Two. Chambers adds "indeed, nobody ever ventured to discuss the second part aloud".
In terms of the actually wording of the play, we are presented only with samples, and so any conclusions we reach about the nature of the play are those we reach ourselves, having decided which seems most likely. My own personal thoughts concerning the play, and the frequently inconsistent references stretch between two possible truths, either of which could be true or, indeed, completely false. This all assumes the idea that there is some sort of single 'truthful' mythology - whilst I doubt Chambers had any such 'truth' in mind it's possible that other authors, including the anonymous writer of the play, may have done.
The first idea concerning the play is a practical one: that there are multiple copies of the play, possibly multiple authors. If we consider all the related stories to be part of the mythology and not incidental fiction based upon the mythology, consider Blish's version of the play. It is suggested that Chambers had written this manuscript. Although it would have had to have been an edited version of the play, condensing two Acts into two Scenes, it still doesn't account for some of the apparently missing scenes. This suggests it wasn't written by Chambers and, furthermore, was not a version he was familiar with. However, there is mention of "notes at the back that evidently were intended to be put into a later draft" that might explain some of these inconsistencies.
In 'The Repairer of Reputations' there is mention of the initial response of the play when 'translated copies' arrived in Paris, before carrying on to London, then 'continent to continent'. Whilst many sources assume the original to be in French, Castaigne's story hints otherwise. If we are to believe Castaigne, we don't even know who the original author was, where he was from or how many translations (or adaptations) there might have been since. Some have suggested that Castaigne is the author himself. I'm not sure where this idea springs from - possibly the use of the phrase "the awful tragedy of young Castaigne" in 'The Yellow Sign'. In the context of the passage it seems to refer to Castaigne's fate (or perhaps delusions), but might it literally refer to his 'Tragedy', his written work?
It is almost as if the play denies us the right to track down it's mysterious past, it's anonymous author. Which ties in neatly with the whole ambiguous nature of the King's mythology.
The second idea concerning the nature of the play deals with the fact that, with 'The King In Yellow': with all it entails there is no certainty, no absolute. As the mythology interacts with different characters in different ways, so might the play, the words themselves, not only on a subconsious level but in a way that transcends and bends reality. Passages from one section might move to elsewhere in the story, all the better to shock a particular reader. Again, using Blish's story as an example, isn't it a little odd (as the narrator points out) that he should find the 'Dramatis Personae' only after reading the First Act. Would the narrator's host have purposefully misplaced this page? Discovering the actors are all to be black (bar the masked Stranger and King, whose features are unlikely to be seen anyway) would throw most people off guard. It seems particularly out of place for a play supposedly written towards the end of the nineteenth century.
One thing worth noting about the play is that by the end of the 20th Century much of it will have become dated. How shocking would the play be if we saw it today, with our diet of violence fed to us dayly through news reports and films that constantly push at boundaries that are traditional taboo? Would the play shock us at all?
Maybe that's the point. Maybe it's not the shock we should worry about. If we have become so desensitised as to not recognise the warnings of 'The King in Yellow', we will surely succumb to the same fates of previous readers and viewers of the play. Perhaps we are already all the King's subjects, all in the hands of the Living God. And we don't even know it...