"Sadastor" by Clark Ashton Smith

Technically this is considered a prose poem, not a short story.

Mophi: Herodotus speculated the source of the Nile as from between the mountain peaks of Crophi and Mophi.

"when the Sphinx was young": The Great Sphinx of Giza is generally believed by archeologists to have been built somewhere in the ballpark of 2550 BC.

Thebais: a region in southern Egypt. During Roman times, we have the provinces of Aegyptus and Augustamnica on the Mediterranean coast, then Arcadia south of those, and Thebais south of Arcadia. The provincial capital during Roman times was indeed Thebes.

Elephantine: an isle in the Nile, which in ancient times was the border between Egypt and Nubia. A fort was built on the island, being just before the first cataract, today the island is part of the city of Aswan.

pits of Python: in Greek mythology, Python was a serpent that dwelt at the center of the Earth (which, according to the Greeks, was at Delphi)

ithyphallic: of or relating to the phallus carried in procession in ancient festivals of Bacchus; having an erect penis. By extension, and the more likely use in this case: obscene or lewd

wiving: the act of taking a wife

aureate: denoting, made of, or having the color of gold

purpureal: of a purple color

marmorean: of, relating to, or suggestive of marble or a marble statue

The picture used is a photo taken in Canyonlands National Park by Jason Hickey, used here under the Creative Commons Attribution 3.0 Unported license (https://creativecommons.org/licenses/by/3.0/legalcode).

Couldn't really find a satisfying picture of a siren and a demon talking, or a lamia and a demon, nor even really a good picture of a pool of water is a desert canyon. This is as close as I could find in the last category. At least the rocks are of a red color, so got that detail right!

The follow along: https://archive.org/stream/XiccarphClarkAshtonSmithLennySAMouse/Xiccarph - Clark Ashton Smith (LennyS-aMouse)_djvu.txt