Virtually everything in the Cthulhu Mythos can be deemed extra terrestrial, at least in origin. I can only think of a handful of the many many things I can certainly say originate on Earth (besides the obvious Humans and various flora/fauna of Earth). Even less so if you consider Earth's dreamlands to be separate from regular Earth, It certainly appears vastly different and contains many things only seen on the dreamlands.
Oh, and don't forget that the Great Race of Yith is currently inhabiting the bodies of a different race and not their own (as they fled the destruction of Yith by mass migrating their minds to some primitive Earth creature) so it can be argued that they are indeed foreign from both the concept of time and space.
Overall, it's really a question of semantics that needs to be answered.
Kzin, Kilrathi, or Lyran, if one is going by more commonly held ufology as a form of fact. Other examples abound but I do find those the most apt. As for which is closest? That all varies on just who is asked, although my wager hedges closer to the latter of the choices.