>>718551172
I won't beat around the bush. I can give you a definitive answer but it is pretty long.
If you want the shortest possible version, the christian cross is associated with Shub-niggurath and Yog-sothoth in the universe. People who pray to them use them while praying.
But there is a reasoning behind it. Daddy HP was exchanging letters with many people. Writers, theosophists and mathematicians. Some stories specifically focus on mathematics as a driving force, namely The Dreams in the Witch House. Which happens to include a monk praying to niggermen using a cross too. A place loosely called "field of cubes" exists in Dreamlands and higher dimensional geometric shapes are a staple. The reasoning for the cross working as a conduit is: You can take a bunch of two dimensional squares and fold it into a cube. Conversely, you can "write open" a cube into a bunch of squares in the form of a cross. Same applies loosely between a three dimensional cross and a facet of a four dimensional hypercube. You can "write open" a part of hypercube into a cross. When you are holding a cross you a kind of holding a loudspeaker with the speaker part in an environment where a niggy is more likely to notice you. It's a small time version of building a huge geometric pyramid and hoping an alien sees it and recognises you.
Hope that helps.