The Ken in Yellow

In reference to Bacchanal, in his latest Out of the Box column, Ken Hite writes:

"I firmly believe that somewhere in here is the greatest King in Yellow game ever designed."
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And he made the same observation to me at GenCon after having first read the game. I'd never admit this to Ken, but to you, my friends, I confess to being only passingly familiar with this work that so influenced the writings H.P. Lovecraft. I'm certain I've read at least one of the stories. My recollection is that it was set in Paris, with a somewhat Kafka-esque narrator, and that events progressed from the culturally awkward to a vision of surreal horror in the last few paragraphs.

Can anyone who's familiar with Bacchanal and more familiar than I am with The King in Yellow suggest where Ken might be thinking on this? Are there recurring figures throughout the stories that exert intangible influence over events the way the gods do in Bacchanal?

Paul