Whether "A Visitor From Egypt" was ever anthologized I do not know, but it appeared in the Arkham House collection THE HOUNDS OF TINDALOS, and later in THE EARLY LONG. Technically, I own the Sphere reprint of THE HOUNDS OF TINDALOS, but I have not seen it for many years and have no idea where it is. I had such fond memories of the story that I recently bought THE EARLY LONG just to read it again.
Edit: It has been anthologized, and not just once, as a search of this board has now revealed.
It turns out that this story was included in a paperback edition of CREEPS BY NIGHT (orig. pub. 1932) edited by Dashiell Hammett. Apparently the original 1932 book was divided into two paperbacks, this one and another one entitled THE RED BRAIN. I am sure it is all copiously documented on the page for this series here... I have not yet had time to have a look at the latter.
I haven't figured out which paperback I did own that had the story. Google mostly retrieves documentation on the original story collection by Belknapius and the reprints.