Besides the word "Hexen" itself, there are lots of words can't be found in my English-Chiese dictionary.

My dictionary is an unbridged version. It has more than 4200 pages, much larger than the Tome of Power. (Joke for one second, I must be stronger than Corvus). But its vocabulary doesnt contain everything in Heretic/Hexen universe. For example:

I can't find Ettin, Wendigo, Korax, Zedek, Traductus,Menelkir and D'sparil. Zedek has a similar Zedekiah who was a Jewish King 2600 years ago. Menelkir has a similar Menelik who was a 19th century Ethiopian king. D'sparil sounds like despair in my personal association.

Corvus is the Constellation of Crow;
Afrit is Arabic which means demon;
Slaughtaur is made up by Centaur and Slaughter;
Maulotaour is made up by Maul and Minotaur;
Heresiarch is made up by Heresy and Arch;
Nitrogolem is made up by Nitro and Golem;

Weird that my dictionary says a gargoyle is the end of a pipe!

I'm also curious where did the Heretic/Hexen story come from? Folklore? Mythology? Or made up by Raven guys?

An Ettin is a two-headed giant (in Norse mythology), and I know that Zedek, Traductus, Menelkir, Baratus and Daedolon were all characters in one of MRJ's old DnD campaigns.  Parias is derived from "Pariah" which means outcast and Korax has something to do with "Raven", to the best of my knowledge.  You're right about D'Sparil, as for the rest they were mostly made up.  So was the story.

Lol, a gargoyle really is the end of a pipe! Or rather the decorative opening on a gothic waterspout or fountain (such as in a cathedral).  Of course gargoyles can also be alone standing statues placed in strategic locations to scare of demonic forces.  ...well that is the intention anyway.

What is a wendigo then?

I have no idea...

The Wendigo is a Canadian entity, half phantom, half beast, who lives in the forests and preys on human beings, particularly children. The belief in this horror dates back to the earliest Indian legends and it is said that the wendigo will eat the flesh of its victims in an attempt to sate an eternal hunger. According to R. S. Lambert in "Exploring the Supernatural" (1955), 'Wendigos (who might be women as well as men) were believed to have entered into a pact with evil spirits, lurking in the forest, who helped them kill their victims.'

The legend of this creature has been immortalized in Algernon Blackwood's short story "The Wendigo" (1907). In W. T. Cox's "Fearsome Creatures of the Lumber Woods" (1951) a number of other Canadian "wood horrors" are listed, including the hodag, the whimpus, the hoop-snake, the celofay, and the filamaloo.  Please don't ask me what they are.  

Corvus Corax is latin and means Raven, so I think both Corvus and Korax have come from that.