Revealing mistake: You can see wires in the scene where Regan levitates above her bed in the exorcism scene, lifting her up. The way they pull on her dress is also visible.

The Exorcist (1973)
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Directed by: William Friedkin
Starring: Max von Sydow, Ellen Burstyn, Lee J. Cobb, Linda Blair, Jason Miller
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Demon: What an excellent day for an exorcism.
Father Damien Karras: You would like that?
Demon: Intensely.
Father Damien Karras: But wouldn't that drive you out of Regan?
Demon: It would bring us together.
Father Damien Karras: You and Regan?
Demon: You and us.
Trivia: William Friedkin's first choice for the role of Chris MacNeil was Audrey Hepburn, but she would only take the role if filming would take place in Rome. Anne Bancroft was another considered actress, but once it was known that she was pregnant, she was dropped.
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Answer: It was indeed Pazuzu, he wanted Regan to believe he was some friendly entity to gain her trust. Thus the Captain Howdy facade.