What Could Have Been: The first outline of the story was about an adult woman that found a hidden labyrinth behind an old house's bookcase. She would then be raped by a faun living inside the labyrinth, and as a result she would give birth to a magic-powered baby. Del Toro is that weird.
That could have something to do with Ofelia's birth...
Seeing that Ofelia's true father is the King of the Underworld, not the Faun, that scenario is unlikely.
This plot idea incidentally bears some resemblance to Arthur Machen's Great God Pan. The movie that happened ends up taking more influence from a different Machen story, The White People, which features a little girl associating with dangerous fairies.
The Pale Man wasn't originally in the movie. The scene was originally meant to be Ofelia being tasked to retrieve a diamond from a sleeping dragon's hoard. The dragon would wake up when she removed a goblet from the hoard. It would then chase her, whilst speaking with Vidal's voice.