Translator here, and this is why you really should read the manga before you critique the translation. The title "Peacock King" (孔雀王) is not used in the manga to exclusively refer to the Buddhist goddess Mahamayuri (孔雀明王), but also to draw a syncretism with the Yazidi deity Melek Taus (the Peacock Angel), whom Muslims view as being equivalent with the fallen angel Iblis, and to draw a syncretism from there with the Christian fallen angel Lucifer. This explanation is in the very last page of the first chapter, and it's the entire justification for Kujaku, as the reincarnation of this syncretized Peacock King, having the potential for good and evil, a key plot point that would be missed if 孔雀王 was rendered as Mahamayuri. All appearances of 孔雀明王 are translated as Mahamayuri while all appearances of 孔雀王 are translated as Peacock King, and the relationship between Mahamayuri and the Peacock King should be clear enough in the manga itself. Other references to Hindu/Buddhist mythos are translated appropriately.