I'm not sure if that particular kind of polyalphabetic substitution cipher has a specific name.
A naive application of it, encrypting the $n$-th letter $n$ times, sounds rather laborious: $O(n^2)$ to encrypt an $n$-letter message. I guess it becomes a lot easier if you decompose $g$ into cycles first, though.
I guess one potential weakness would be the fact that each letter always belongs to same cycle. English has quite a few double letters, and thus the ciphertext ought to contain a larger proportion of bigrams of the form $(x, g(x))$ than one would expect by chance.
Another approach might be to treat it like the Vigenère cipher: if $g$ contains a cycle of length $k$, then the letters in that cycle will be more likely than usual to repeat $k$ position apart in the ciphertext. One could even generalize these two methods: if the letters $x$ and $y$ are $j$ steps apart in a $k$-letter cycle (i.e. $g^j(x) = y$, $g^k(x) = x$), then $x$ and $y$ may be more likely than expected to be separated by $ak+j$ positions in the ciphertext, where $a \in \mathbb Z$.
Addendum
Here's a fairly easy way to crack this cipher, given a sufficiently long ciphertext sample (or many shorter samples). I've illustrated this method with a concrete example (Pride and Prejudice by Jane Austen, courtesy of Project Gutenberg, encrypted with the key QKLWDVEOSUZYGMFXACNPHJIBRT) below:
Step 1: First, you want to identify the cycles of $g$. To do this, simply count the frequencies of each letter in the ciphertext and plot them in ascending order. The plot should looks something like this:
T: 11757 ####################### B: 11827 ####################### K: 11895 ####################### Z: 11898 ####################### P: 11927 ####################### X: 12048 ####################### H: 18161 ################################### O: 18296 ################################### V: 18370 ################################### J: 18518 #################################### F: 18570 #################################### U: 18748 #################################### R: 20536 ######################################## Y: 20547 ######################################## L: 20660 ######################################## C: 20889 ######################################## Q: 21642 ########################################## A: 21691 ########################################## E: 30275 ########################################################### G: 30340 ########################################################### S: 30346 ########################################################### N: 30473 ########################################################### I: 30516 ########################################################### W: 30564 ########################################################### D: 30564 ########################################################### M: 30638 ############################################################
Notice that the plot looks like a staircase: each step corresponds to a single cycle of $g$. For this example, I deliberately picked a slightly ambiguous case; it's fairly clear that there are two 6-cycles ({T,B,K,Z,P,X} and {H,O,V,J,F,U}) and one 8-cycle ({E,G,S,N,I,W,D,M}), but it's not quite obvious whether the remaining letters ({R,Y,L,C,Q,A}) form a single 6-cycle, two 3-cycles, or a 4-cycle and a 2-cycle. Fortunately, we can just try them all in the next step.
(Incidentally, even if you didn't know what cipher was used, this kind of staircase-shaped frequency plot would be a good hint.)
Step 2: Once you've identified the cycles, you still need to determine the order of the letters in each of them. One quick way to do this is simply to count the occurrences of each letter of the cycle at positions $n \equiv i \pmod k$ in the ciphertext for each $i = 0, \ldots, k-1$, where $k$ is the length of the cycle. If, for each $i$, you then sort the letters by their frequency at that position, you'll hopefully see something like this (for the 8-cycle {E,G,S,N,I,W,D,M}):
0: E > N > I > S > D > M > W > G 1: D > M > S > N > W > G > I > E 2: W > G > N > M > I > E > S > D 3: I > M > E > G > S > D > N > W 4: S > G > D > E > N > W > M > I 5: N > W > E > D > M > I > G > S 6: M > D > I > W > G > S > E > N 7: G > W > S > I > E > N > D > M
Note that there are no repeats in the leftmost column; this is because one of the letters in the cycle (presumably E) is sufficiently more common than the others that its encryption under $g^i$ dominates the row. From this, we can guess that the order of the letters in this cycle is, in fact, (E→D→W→I→S→N→M→G(→E)).
Note, though, that the next two columns in the table above are mixed up, presumably because the letters N and I are close enough in frequency that their order varies by chance. All the other columns, however, are simply shifted versions of the first, which confirms that we almost surely have the correct order.
If we try to do the same with {R,Y,L,C,Q,A}, however, the output looks different:
0: A > L > R > Y > C > Q 1: Q > C > Y > L > R > A 2: A > R > L > C > Y > Q 3: Q > Y > C > L > R > A 4: A > L > R > C > Y > Q 5: Q > C > Y > R > L > A
From this, we can guess that {R,Y,L,C,Q,A} is not, in fact, a cycle. Instead, {A,Q} seems a likely 2-cycle, which would leave {R,Y,L,C} as a 4-cycle. Indeed, with these guesses the output looks much nicer:
0: A > Q 1: Q > A 0: R > L > C > Y 1: C > Y > L > R 2: L > R > Y > C 3: Y > C > R > L
It's pretty clear that (A→Q(→A)) and (R→C→L→Y(→R)) are cycles. Applying the same technique to the remaining two candidate cycles gives
0: O > H > U > F > V > J 1: F > O > H > V > J > U 2: V > F > O > J > U > H 3: J > V > F > U > H > O 4: U > J > V > H > O > F 5: H > U > J > O > F > V
and
0: T > B > P > K > Z > X 1: P > K > X > Z > B > T 2: X > Z > B > T > K > P 3: B > T > K > P > X > Z 4: K > P > Z > X > B > T 5: Z > X > T > B > K > P
from which we can correctly deduce that $g$ equals (EDWISNMG)(AQ)(RCLY)(OFVJUH)(TPXBKZ) = QKLWDVEOSUZYGMFXACNPHJIBRT. Looking at the resulting decryption output (which we didn't even have to do to guess the key!) confirms that it indeed makes sense.
Note that the simplistic frequency analysis I used in step 2 can fail if a cycle consists entirely of uncommon letters with similar frequencies. However, as long as we can decrypt most of the ciphertext correctly, it shouldn't be too hard to sort such minor cycles manually. A bigger issue with this technique is that is also tends to fail if the amount of ciphertext available is too small for the statistical frequency differences to stand out of the noise. On the other hand, it it otherwise remarkably robust: it makes no assumptions about the actual letter frequency distribution of the plaintext, except that it is not too close to uniform.