His name is apparently a compound of two different particles, aza and Thoth. Thoth is clearly related to the name of the ancient Egyptian deity Tahuti, whose name is mispronounced in Greek as Thoth. Aza is a slight verbal corruption of the Arabic word izzu, meaning power, might or strength. The name written in Arabic would thus be Izzu Tahuti, or 'Power of Thoth'. Apparantly Theodorus Phileatas translated Tahuti into Thoth, to him the more familiar form. In Greek the full name became Azathoth, and so the deity would later become known in Latin and English.

Latin: Azathoth
Greek: azathoth
Arabic: 'Izzu Tahutiz

-From the notes in Call of Cthulhu, 5th Edition.