Pizzolatto confirmed my suspicions a few days later. “The King In Yellow is in there because it’s a story about a story, one that drives people to madness,” he told Jensen. “Everything in True Detective is composed of questionable narratives, inner and outer, from Cohle’s view that identity is just a story we tell ourselves, to the stories about manhood that Hart tells about himself, to the not always truthful story they tell the detectives investigating them. So it made sense—to me, at least—to allude to an external narrative that that is supposed to create insanity.”In other words, the Yellow King is a literary device—a creepy mythology that Pizzolatto pinned to Ledoux & Co. in order to reinforce his metafictional themes. The Yellow King is not the monster we’re going to meet at the end of the nightmare. 

How ‘True Detective’ Will End: What We Know Up to Episode 7 “After You’ve Gone” - The Daily Beast Monday, March 3, 2014 @ 9:10pm