Shub is actually a legit lovecraftian creature in "The Last Test", she is often associated with the phrase "The Black Goat of the Woods with a Thousand Young", and yes that is how her name is actually spelt. Her name is also the reason that South Park made a joke about her being worshiped by cops in their video game. While I get the thing with pronouncing her name, I don't expect that they would change it, just because it's the legit name of the creature and one of the main elements of nightmare mode seems to be themed after classic horror stuff.