As far as I know, LaVey was not a Fortean, at least not explicitly. But, he did have a collection of the works of Ben Hecht, a writer who ran in Tiffany Thayer's circle and was a founding member of the first Fortean Society.
By itself, that doesn't say much: lots of people read Hecht. But, LaVey was also in San Francisco by the 1950s and spent time with George Haas, Robert Barbour Johnson, and Clark Ashton Smith. There's a semi-famous picture of them together, which LaVey titled, "Headmasters in a School for Ghouls." By the 1960s, Haas told Ashton Smith's wife that he no longer heard from Lavey--"since he became Satan."
But, it's clear there was a substantive connection between LaVey and the Bay Area Forteans and so understanding something about LaVey--who has more written about him--helps explain the Forteans.