It seems like the question should be an easy one to answer. The Horned Society, which was an evil realm that rose in the west-central area of the Flanaess and was eventually conquered by Iuz in the Greyhawk Wars, should be aligned with some particular deity or other-planar faction. But the reality is much more difficult to determine, as the sources are quite contradictory on the subject.
First, we have the Folio and Gold Box. According to those sources, the Hierarchs are “a group of evil humans”, and it very clearly states that “Deviltry is the religion of the Society.” The Regional Alignment map on p. 44 of the Guide to the World of Greyhawk agrees, marking the Horned Society as lawful evil.
But Gygax also states that the leaders of the Horned Society are “diabolic” in Dragon magazine #56. This could be a simple descriptor, but it is usually used in a way to specifically refer to devils. In the City of Greyhawk boxed set, we are given stats for one of the Hierarchs, Vazirian, who is also lawful evil. So far, everything aligns pretty well.
But unfortunately, it’s not so clear-cut in other sources.
Again in the City of Greyhawk boxed set, we are told that “Nerull is held in high esteem by the depraved Hierarchs of the Horned Society” (FFF, p. 57). The problem is that Nerull is a neutral evil deity, not lawful evil (although his stats in the Glossography do say his worshipers can be of any evil alignment).
Also in the FF book (p. 77), we are told of Andrade Mirrius he “should not have become the Horned Society’s most senior spy in Greyhawk, and he may work with otherworldly denizens of Nerull … to spread the influence of the Cult of the Shriven Sickle or that of the Hierarchs.”
In Gary Gygax’s book, “Artifact of Evil”, the Hierarchs, in an attempt to stop Gord and seize the second part of the Artifact of All Evil for themselves, summon the god Nerull who in this book is said to be an aspect of Anthraxus, the chief of all daemons. Also neutral evil.
These are just a couple of examples, but there are many more relating to the power(s) worshiped by the Hierarchs of the Horned Society.
So how to reconcile these two seemingly divergent interpretations? On the one hand, the Hierarchs are flat-out said to worship devils, and thus be lawful evil. On the other hand, we know they are on such good terms with the neutral evil Nerull that they can summon him in person, and their agents work for his goals as well. Clearly both devils and Nerull are part of their religion.
In an appendix to his adventure “Strike on the Rabid Dawn”, Frank Brunner just says that the Horned Society payed homage to Nerull, Anthraxus, and the princes of Hell, and leaves it at that. That could just be all there is to it, but it seems impossible that Asmodeus or Anthraxus would allow such double-worship. Daemons and devils are said to be great rivals, except when they are united against the demons to free Tharizdun in Gygax’s later Gord the Rogue novels. That might be the key (pun intended).
Speculation time; this isn’t cannon, but it does fit.
Suppose that the forces of neutral evil and lawful evil banded together, temporarily and locally, to oppose the growth of chaotic evil. The same region of the Flanaess had first seen the rise of Iggwilv and then Iuz (and much later, the Temple of Elemental Evil). So an alliance was formed between Nerull, Anthraxus, and Asmodeus to stand together to counter-balance the obvious nexus of power that chaotic evil was either exploiting or causing. The Horned Society was the means by which lawful and neutral evil would keep a check on their chaotic counterparts, as well as keeping pressure on the forces of good to the south.
When Iuz returned from his imprisonment and restored his empire, and the Temple of Elemental Evil rose to prominence, the soundness of the scheme was proven correct. However, both sides ultimately under-estimated Iuz, and their Society was not only wiped out, but actually used to increase the power of Iuz, who would then go on to conquer most of the northern Flanaess.