Well, I finished the re-read, and I'm extremely willing to toss that theory right out the window. I really didn't remember Pariah very well, and in context some of those quotes above don't contribute to my theories as well. I definitely CTRL+F'd to find references to 'Orphaeus' and got a bit ahead of myself.
I think it's very possible that the original Saint Orphaeus may have been Kor Phaeron, or even Erebus (could also be seen to sound like "Orphaeus"), but probably not. Maybe either could even be some other Orphaeus in what is apparently a long history of Orphaeuses. But not the current Orphaeus. I think Orphaeus is just a name that sounds like a lot of things, and the the choice to use it may have been deliberate. Dan would probably read that theory up above and go "Wow, they're right, it does sound like Kor Phaeron if you mess with it! Didn't think of that."
As for the current Yellow King... I expect it's going to make sense when we get there, but I don't think there's enough in this book or The Magos to really tell us anything. At least, nothing that the book doesn't make clear, like the strong possibility that the King in Yellow is Inquisition or ex-Inquisition. It may even still be Eisenhorn himself due to warp/time shenanigans, and he just doesn't know it yet. Like a Sherlock Holmes story, the clues will all add up, but there's no realistic way the reader can be expected to be able to figure out the puzzle until Holmes (or in this case, Ravenor, or Eisenhorn) explains his reasoning directly to us. It's the illusion of answers having been there the whole time, and a very clever way to write mystery.
As an aside, I was really hoping The Magos would clue us in to how Eisenhorn came into contact with Deathrow, who is presumably an agent of the Alpha Legion. Although now I wonder if he is in fact an outcast of the Alpha Legion? Anyway, I picked up the limited edition of the book, and there are seven freaking snakes on the back cover. I thought "wow, look at this hidden message, there will definitely be some XXth Legion stuff in here! Look at this Seventh Serpent reference!" Nope. Just seven snakes on the back.