Lot is another figure from the Book of Genesis, who sought to rescue his wife and daughters from the wicked city of Sodom, but whose wife did not heed the warning not to look back at the city and was turned into a pillar of salt. “Deirdre of the Sorrows” is the name of a play by Irish writer John Millington Synge, left unfinished by him but completed by William Butler Yeats in 1910, about the foremost figure from Irish mythology: Deirdre was so beautiful that kings repeatedly went to war over her.
The final reference is likely to a 1919 poem by T.S. Eliot, “Sweeney Among the Nightingales,” which cynically presents its characters as mundane and vulgar, rather than romantic and heroic. Although it includes a Greek epigraph consisting of the final words of Agamemnon in the ancient Greek tragedy by Aeschylus, Eliot portrays Sweeney as brutish, abusive toward women, and undeserving of a heroic fate, so Yossarian’s use of the reference is ironic, sarcastic, and inappropriate -- as if he’s run out of steam.
Basically, Yossarian comes across here as what we used to call "a legend in his own mind."