I can't any mention of Deep Ones worshipping Nyarlathotep or Cthulhu in Lovecraft's stories, though Derleth does state they worship Cthulhu. In The Mask of Cthulhu Derleth says:
And once again, I dreamed of a vast, amorphous being, which rose out of the water pit in the cavern beyond the passage under the house; but this time it was no misty emanation, this time it was horribly, shockingly real, built of flesh that seemed to have been created out of ancient rock, a vast mountain of matter surmounted by a neckless head, from the lower edges of which great tentacles writhed and curled, reaching out to singular lengths; this came rising out of the waters, while all around it flowed the Deep Ones in an ecstasy of adoration and subservience, and once again, as before, the weirdly beautiful music which had accompanied it rose, and a thousand batrachian throats called harshly “Iä! Iä! Cthulhu fhtagn!” in accents of worship.
This has been picked up by subsequent authors. For example Brian Lumley makes several mentions of the Deep Ones worshipping Cthulhu (though again no mention of Nyarlathotep) - I don't know whether Lumley's writing would be considered part of the Cthulhu Mythos.
I can't find any mention of Deep Ones worshipping Nyarlathotep, though with such a large body of work to search though I could easily have missed it. Nyarlathotep is generally described as living in outer space so it isn't obvious why an aquatic race would choose him as their patron.