Lovecraft's stuff has that reputation, but on a listen through his works, he had a tendency to actually be properly descriptive when it was appropriate. I think it's a case of later, lesser writers gloming onto to making things indescribable as a lazy crutch that made the reputation of the mythos like that.
I think only 'The Unnamable' by Lovecraft really goes incredibly vague at a point where it should be describing the creature, but that story feels like a joke about this exact topic.