Philemon is still guiding the main protagonist, he's just taken a back seat to Igor to do the heavy lifting, yet he is still doing something. It wouldn't be really any different for Nyaralthotep to be doing the same thing. As I said, it's more of a logical conclusion that since they all have the same origin, they are likely all connected as one being.
I don't remember Ryuji saying she was an alien, primordial death yes, but not an alien, but looking over at the MegaTen Wiki, it's stated that Nyx is something like Lovecraft's elder gods, a being outside of time and space that somehow crashed into the moon and has been biding it's time before it can wake. So perhaps alien isn't too far off. Man that's as lame as the revelations made about the origins of the Angels from EVA in the supplemental materials.And I'm like 99% certain Ryoji says Nyx is extraterrestrial. She's not from the planet Earth at all. There are apparently multiple alien life forms in SMT anyway. Some group called the Administrators was one told to me elsewhere.
As for other aliens in the series, they do exist certainly, though I'll mention that Devil Survivor (where the Administrators are from) is kind of an odd duck compared to the rest of the franchise. It''s a series that tries to combine the best parts of Persona and the mainline games with some rather weird results. I'm currently still perturbed with them over Tokyo Mirage Sessions.
P1 is an experimental title, which is a nice way of saying it tries a lot of interesting ideas to make it different from mainline MegaTen in some not so fun ways. It's one of the goofier entries in the series, and there are some odd quirks about it.I should maybe play P1 sometime. Even the old school fans don't seem to like it much in my experience. Their reverence is reserved for P2.





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