Now released in the final public version, Librivox’s audiobook anthology Lovecraft’s Influences and Favorites. Not complete, and there appear to be a couple of “an early critic once suggested he could have been influenced by this…” items. But it looks like a good starting point, and it’s free.
As it’s Librivox one could add to this with one’s own additional readings, and other free readings, and thus build on it. While also weeding out the items with a shakier claim to influence.
It’s also mirrored at Archive.org where there’s a handy .torrent file.