The Yellow King is not a person. It’s a drug, or a drug experience, cooked up by Reggie Ledoux in his Dark Easy Bake Oven of the Soul.
Yellow King blotter acid gives you the fourth dimensional perspective Cohle speaks of which is the vantage point of God the Reverend speaks of. When you drop Yellow King, you see your life as an unbroken superposition of cosmic energy embedded in a flat circle, your true face is revealed to you, and you weep warm tears. Hey, who hasn’t been there?
Which means that the murder victims are not really murder victims. They dropped Yellow King, traveled to Carcosa, saw themselves as they are and concluded that dying now meant that they would be embedded in eternity as relatively happy people, spared the thresher of long life. And so they allowed themselves to be killed and marked as a message for others to follow them into a blissful eternity.
The futile hell of the story is that Rust mainlines this secret truth of the universe, but still cannot break his programming. As a homicide detective, he cannot rationalize drugging people into suicide, even if doing so conforms exactly to his philosophy of existence. He is trapped, doomed to play out the contradictory role he has chosen for himself: the nihilist who wants to save the world."