Aside from being the Tahitian term for 'eunuch', and hence, more recently, synonymous with 'gay' in that region, there are two references to another Mahu in Shakespeare's tragedy: King Lear. Both lines are spoken by Edgar, disguised as the madman Poor Tom. The first is in Act III, Scene 4:
The Prince of Darkness is a gentleman. Modo he's called, and Mahu.
The second is in Act IV, Scene 1.
Five fiends have been in poor Tom at once: of lust, as Obidicut; Hobbididance, prince of dumbness; Mahu, of stealing; Modo, of murder; Flibbertigibbet, of mopping and mowing. (What's wrong with mopping and mowing anyway??)
In Samuel Harsnett's A Declaration of Egregious Popish Impostures (1603), Mahu was the fiend-prince that urged thievery. The reference to the Prince of Darkness most probably comes from Harsnett. Mahu was the 'generall Dictator of hell' (Harsnett, p. 46).