In every episodes introduction Cthulhu is seen chasing them in their ship.
Is this in any season or episode?
If not why?
That Episode Doesn't Exist (yet)
Before the start of Season 3 of Rick and Morty Justin Roiland was asked about Cthulhu episode being featured on Rick and Morty according to NME
The trio were also asked if season 3 will feature the Cthulhu monster which was seen in the opening sequence of the show, but Roiland chose to “plead the fifth” on that. However, Ridley said that fans will be pleased as they will be seeing things that have been requested to be featured on the show.
Why isn't Cthulhu featured in an episode?
There's also a lot of other episodes that have featured in the intro but not featured in any episodes for example Rick and Morty getting chased by big frogs and Jerry giving birth.
These little snippets of episodes in the introduction might be hints at either future episodes, cancelled episodes or even deleted scenes. If an episode is cancelled/scene is deleted or that snippet isn't featured in any episodes then I guess we are just to assume that the bit in the intro happened off screen or maybe in a parallel universe etc.