A literal mythology gag appears in Dungeons And Dragons — Minotaurs are immune to the spell Maze, which traps its victims in a labyrinth.
And Dungeons And Dragons 4e loves tossing in shout-outs to settings that are not part of this edition's gameline. Sigil is once again center-stage at higher tiers, the Spelljamming Helms can be used to navigate the Astral Sea, and it's made throw-away references to defunct settings like Greyhawk and even Dark Sun before it was confirmed as a campaign setting for this edition.
In Vampire The Masquerade, the Camarilla was the ruling body of vampiric politics — a worldwide conspiracy meant to keep the Kindred operating behind the scenes and hidden from mortals. In the reboot, Vampire The Requiem, the Camarilla was a vampiric body politic that stretched throughout the Roman Empire... and fell when it did, emphasizing the game line's shift from global to local politics.
Werewolf The Forsaken has a giant worm-like entity known as Zmai who may or may not have something to do with vampires.
The Return of the Scarlet Empress book for Exalted had the Ebon Dragon construct an enormous Black Spiral. In addition, the entire world of Autochthonia is based on Mage The Awakening. These qualify as Mythology Gags because Exalted was originally supposed to be a prequel to the World of Darkness, which has more or less fallen off with subsequent editions.
