There are multiple references there. He is named after Pazuzu, who was the king of the demons of the wind in Assyrian and Babylonian mythology. The Mesopotamian Pazuzu was also the basis for the demon prince Pazuzu in Dungeons & Dragons, who can be found within the Abyss. There are frequent references made to Dungeons & Dragons throughout Futurama. The Dungeons & Dragons version of the character can grant wishes when his name is said three times, possibly the source of Farnsworth's three wishes. While Pazuzu is not overtly evil, he exhibits demonic features (such as glowing eyes), and at times the Professor refers to him as "Fiend" (which is also a term in Dungeons & Dragons referring to demons and devils aligned with evil). Pazuzu was the name of the demon of the Eiffel Tower in "Le Dmon de la tour Eiffel", an issue of Jacques *censored word* French graphic novel series The Extraordinary Adventures of Adle Blanc-Sec. The cathedral at the end is the Notre Dame de Paris, and Pazuzu's final words is a reference to one of the gargoyles from the Disney movie The Hunchback of Notre Dame. He can say "Bonne nuit" ("Good night"), meaning he may be able to speak the French language, even though it is considered a dead language in the 31st Century. Though not named in the movie, Pazuzu was the name of the demon who possessed Linda Blair's character Regan MacNeil in the 1973 film The Exorcist. A flashback early in the film shows Pazuzu as half-demon and half-animal, similar to how he appeared in Futurama.
Oh wow. That's just like Futurama, to have so many references packed in such a tiny scene