In "The Coon", many people saw Clyde as a possible candidate for the identity of Mysterion in the episode. He was shown sleeping in class the day Cartman gave his speech in class, possibly from playing Mysterion, but the next day it is implied this is Mysterion's first appearance. However, all of the children were bored of Cartman's lecture on the Coon, so it served as an illusion. Cartman did accuse Mysterion of being Clyde, making him one of the possible candidates.
In the episode "Coon 2: Hindsight" he is present with the rest of the boys in Coon and Friends watching the rise of Cthulhuon television, before showing the now dressed-up heroes leaving, confirming him as one of them - in that episode, the candidates were effectively narrowed down to Clyde and Kenny.
In "Mysterion Rises", however, it is revealed that Clyde is in fact Mosquito, the hero who was easily beaten up by Cartman in "Coon 2: Hindsight", with the aid of the element of surprise. Mosquito was often yelled at by Cartman for various reasons, so he was evidently not one of the more steadfast heroes.