OK, maybe it was not Azathoth who caused what happend to the Milky Way (our home galaxy, not the chocolate bar, obviously), but he is the kind of guy who would be capable of doing exactly that.
What happened? Well, there is a hole in our galaxy as if something really massive punched through it some time in the past. Here are two videos discussing the phenomenon:
This one is a bit more info-tainment:
And this one is hard and heavy science:
And if you really want to dive into the matter, this link goes straight to the research paper describing the discovery and phenomenon.
Have fun reading!