Does anyone know to which (if any) Ancient Ones the 2 Heralds included with Kingsport Horror (Tulzscha & Ghroth) are thematically connected? (For example Dagon and Hydra are thematically connected to Cthulhu.)

They don't really appear to be connected with any particular AO (they're not even associated with Kingsport itself). But a lot of players deliberately tack Ghroth onto Azathoth to make him more intimidating. Tulzscha probably should have been an AO however.

Thematically Ghroth is a free agent, he flies through space singing and wakes up any old ones or outer gods sleeping on planets he flies near causing mass extinctions or the destruction of the planet wholesale.

Tulzscha is an outer god and one of the dancers in Azathoths court, so there is a thematic connection there but possibly less so than Nyarlethoteps connection with Azathoth.