It was insinuated by Ardra in this episode that Fek'lhr is roughly the Klingon version of a devil. This is probably not a proper equivalent however as Kang said in TOS: "Day of the Dove" that Klingon beliefs do not recognize a devil archetype.
In Star Trek Online, the Fek'Ihri strongly resemble Fek'lhr. They are real creatures from outside normal space that attacked the Klingon empire in ancient times and were commanded by Molor during his reign; it may have inspired the legend. They have now returned to invade the Empire, and Fek'lhr himself appears as the final enemy of the Fek'Ihri campaign. After scanning Fek'lhr's corpse, the player's Bridge Officers notice traces of Hur'q technology.