In the Play, the Stranger (who essentially equates with the Pallid Mask as an entity) is asked to remove his mask and responds by saying that he wears none, to the horrified reaction of the onlooking Camilla. A variation of the mask appears in The Mask At The Window. In More Light, it is claimed that Alar invented (whatever that means here) the Pallid Mask.
See also The Phantom of Truth
According to the Encyclopedia CthulhianaEdit
Entity connected with the King In Yellow. (Who)... acts as Hastur's messenger to the city of Yhtill. Other references cite the Pallid Mask as the semblance the King In Yellow puts on when dealing with mortals.