The idea of the King of Sorrow being a personification of Klonoa's sadness has another layer to it. It could also serve as a metaphor for Klonoa coming to terms with Door to Phantomile's events. Compare the two main game's endings: in the first game, Klonoa actively resists his fate, screaming and holding his ground as the portal to his home dimension inevitably pulls him out of Phantomile. In Lunatea's Veil, having grown to understand sadness a bit more, he's implicitly accepted his role as a dream traveler. While clearly regretful that he has to leave Lunatea and his new friends, he handles the departure with much more grace.
In Door to Phantomile
Nahatomb's final form has much of its bottom blown off, leaving behind a visceral hole and the tail's bone structure. This detail, which was toned down for the Wii remake, explains why the beast starts inhaling the surrounding platforms: it no longer has any stomach to speak of, but it's desperately stuffing its face regardless to stay alive.
Joka has a rather creepy face with Black Eyes of Evil and More Teeth than the Osmond Family. This initially seems to be at odds with his buffoonish, Harmless Villain personality, especially if you have coulrophobia. His creepy face may have been early foreshadowing that he's actually a Not-So-Harmless Villain. It could just be a product of most Japanese people lacking coulrophobia and loving clowns, but not even most Japanese clown characters have jagged teeth.
In Empire of Dreams, did Klonoa ever find out that Emperor Jillius wasn't really dead? Or did he leave the empire in mourning, believing that he had failed to save it? If it's the latter, then he needs a million hugs... like, right now.
In Door to Phantomile...
When Klonoa knocks Joka into the water after the Evil Pamela and Seadoph fight, Joka says "I won't forget this..." At the time, it sounds like your typical villain We Will Meet Again line. But as Joka becomes more dead serious throughout the game, the line takes on a much darker meaning. That may not have been the only time in the game that Klonoa defeated and humiliated Joka, but still... he really didn't forget that.
Ghadius, Joka, and the monsters that Joka summons all die in explosions. Before they die, Ghadius and Joka both announce that they are still fully intent on summoning Nahatomb and destroying the world. Now, consider that Nahatomb is made from all the world's nightmares. Ghadius is definitely a nightmare creature, and Joka and his monsters are likely nightmares too. It's unclear if Joka's monsters were sentient enough to do this willingly, but it seems that Ghadius and Joka deliberately sacrificed their bodies to create Nahatomb. They might have even had a Thanatos Gambit all along!
This idea becomes even more disturbing if you believe that Ghadius and Joka didn't die for real after their battles. Maybe their spirits were transferred into Nahatomb along with all the other nightmares that make him up. These two villains who you've known throughout the game could be still alive, powering this giant monster who wants to kill you. It wouldn't be until Klonoa kills Nahatomb that Ghadius, Joka, and the other nightmares die for real... and yet, Joka and Nahatomb still appear in spinoff games... (although it's debatable if those are canon or not.)